Numerical solutions of linear stochastic differential equations
type: Item
instance of: scholarly article
title: Numerical solutions of linear stochastic differential equations
zbMATH Open document ID: 0792.65111
DOI: 10.1016/0898-1221(94)90050-7
publication date: 1994-05-24T00:00:00Z
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 571445
zbMATH Keywords: algorithm
zbMATH Keywords: linear Ito stochastic differential equations
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: Runge-Kutta method
author: Csaba Török
MaRDI profile type: Publication
full work available at URL: 0898-1221(94)90050-7
OpenAlex ID: W2014987629
cites work: Q4404205
cites work: Linear stochastic systems with constant coefficients. A statistical approach
cites work: A survey of numerical methods for stochastic differential equations
cites work: Numerical Treatment of Stochastic Differential Equations
cites work: Q5514782
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 571445