Computer simulations of multiplicative stochastic differential equations
type: Item
instance of: scholarly article
title: Computer simulations of multiplicative stochastic differential equations
zbMATH Open document ID: 0714.65107
DOI: 10.1016/0021-9991(91)90077-X
author: I. K. Mortimer
author: P. D. Drummond
published in: Journal of Computational Physics
publication date: 1991-01-01T00:00:00Z
review text: The paper presents computer simulations of stochastic differential equations with multiplicative noise. The test equation is given by the Kubo oscillator in the white noise limit. Explicit and implicit numerical schemes are applied, where a semi-implicit method gives the best results.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 4176412
zbMATH Keywords: stability
zbMATH Keywords: computer simulations
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: multiplicative noise
zbMATH Keywords: Kubo oscillator
zbMATH Keywords: white noise limit
zbMATH Keywords: semi-implicit method
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4176412