On a deterministic approach to the numerical solution of the SDE

DOI10.1016/S0378-4754(00)00263-9zbMath0983.65009MaRDI QIDQ5938379

Shigeyoshi Ogawa

Publication date: 3 April 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Wiener processCauchy polygonal methodpseudorandom functionsstochastic Runge Kutta schemeStratonovich stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)

Related Items (2)

Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

Cites Work

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• Pseudorandom functions whose asymptotic distributions are asymptotically Gaussian
• Ergodic properties of invariant measures for piecewise monotonic transformations
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• Stationary functions and their applications to the theory of turbulence. I: Stationary functions
• On the relation between ordinary and stochastic differential equations
• Continuous Markov processes and stochastic equations
• A New Representation for Stochastic Integrals and Equations
• On a Riemann definition of the stochastic integral, II

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