Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method.
type: Item
instance of: scholarly article
title: Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method.
zbMATH Open document ID: 1062.65010
DOI: 10.1016/S0021-9991(02)00054-2
author: Renfeng Cao
author: Stephen B. Pope
published in: Journal of Computational Physics
publication date: 2003-05-20T00:00:00Z
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 1913914
zbMATH Keywords: Composition PDF method
zbMATH Keywords: Stochastic differential equations
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1913914