Some experiments on numerical simulations of stochastic differential equations and a new algorithm
type: Item
instance of: scholarly article
title: Some experiments on numerical simulations of stochastic differential equations and a new algorithm
zbMATH Open document ID: 0807.65148
published in: Journal of Computational Physics
publication date: 1994-10-17T00:00:00Z
review text: This paper reports the results of numerical experiments involving numerical methods for approximating the solutions of Itô stochastic differential equations. A method of Mil'shtein, a method of Talay, and a new Runge-Kutta type method were applied to four test problems and then compared with respect to accuracy and speed under different stepsizes, sample sizes of the associated Monte Carlo simulations, and type of approximation of the increment of Brownian motion.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 651859
zbMATH Keywords: numerical experiments
zbMATH Keywords: Itô stochastic differential equations
zbMATH Keywords: Runge- Kutta type method
zbMATH Keywords: test problems
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: Brownian motion
author: Wesley P. Petersen
reviewed by: Melvin D. Lax
MaRDI profile type: Publication
full work available at URL: jcph.1994.1119
OpenAlex ID: W2145207490
DOI: 10.1006/JCPH.1994.1119
description: scientific article; zbMATH DE number 651859