An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations

DOI10.1016/j.ijengsci.2008.08.001zbMath1213.60103OpenAlexW1973219964MaRDI QIDQ541096

Yong-Cai Geng, Sumit K. Garg

Publication date: 4 June 2011

Published in: International Journal of Engineering Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijengsci.2008.08.001

zbMATH Keywords

analytical-numerical methodtransition probability densityItô's stochastic differential equationdamping matrixmotion of ship in stochastic seastochastic rolling of ship

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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