A numerical method for some stochastic differential equations with multiplicative noise

DOI10.1016/j.physleta.2005.06.045zbMath1194.65024OpenAlexW2130464116MaRDI QIDQ936869

Peter Smereka, Charles R. Doering, Khachik V. Sargsyan

Publication date: 20 August 2008

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2005.06.045

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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