A class of orthogonal integrators for stochastic differential equations
DOI10.1016/j.cam.2004.12.016zbMath1078.65004OpenAlexW2092752743MaRDI QIDQ557773
R. J. Biscay, F. Carbonell, J. C. Jimenez
Publication date: 30 June 2005
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2004.12.016
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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- Conserved quantities and symmetries related to stochastic dynamical systems
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