Solution of the Fokker-Planck-Kolmogorov equation by the method of finite differences
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Publication:923519
zbMath0711.60079MaRDI QIDQ923519
V. K. Saul'ev, A. A. Chernikov
Publication date: 1990
Published in: Automation and Remote Control (Search for Journal in Brave)
Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Probabilistic methods, stochastic differential equations (65C99)
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