INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS ON A COMPUTER
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Publication:5715584
DOI10.1142/S0129183102004042zbMath1085.65501WikidataQ62556219 ScholiaQ62556219MaRDI QIDQ5715584
Publication date: 4 January 2006
Published in: International Journal of Modern Physics C (Search for Journal in Brave)
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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Uses Software
Cites Work
- A portable high-quality random number generator for lattice field theory simulations
- RANLUX: A Fortran implementation of the high-quality pseudorandom number generator of Lüscher
- Brownian motion with green noise in a periodic potential
- Absorbing boundaries and optimal stopping in a stochastic differential equation
- A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
- Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
- Numerical Solution of Ito Integral Equations
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