On an infinite integral arising in the numerical integration of stochastic differential equations

DOI10.1098/rspa.2004.1379zbMath1145.65300OpenAlexW2155829430MaRDI QIDQ5422668

James M. Hill, D. M. Stump

Publication date: 30 October 2007

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2648&context=infopapers

zbMATH Keywords

Meixner polynomialsMittag-Leffler expansionStochastic differential equationsMilstein integration schemeSheffer system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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