Algorithmic solution of stochastic differential equations
type: Item
instance of: scholarly article
title: Algorithmic solution of stochastic differential equations
zbMATH Open document ID: 1461.65008
author: Henri Schurz
published in: Algorithms
publication date: 2018-08-20T00:00:00Z
review text: Summary: This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 6920521
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: strong solution
zbMATH Keywords: PDE-based algorithm
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.3390/a3030216
OpenAlex ID: W1985321567
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DOI: 10.3390/A3030216
description: scientific article; zbMATH DE number 6920521