Numerical Methods for Second‐Order Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Numerical Methods for Stochastic Differential Equations
Approximately a quarter century ago, very early in my career when I was publishing rather theoretical results about stochastic differential equations, I received a letter (this predates e-mail) from a fellow researcher who had seen my work and was asking if I had an algorithm suitable for implementing my ideas on a computing machine. Not only did I not have such an algorithm, the idea had not o...
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Stochastic differential equations (SDE's) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes for solving stochastic equations is outlined here. High-order numerical methods are developed for the integration of stochastic differential equations with st...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2007
ISSN: 1064-8275,1095-7197
DOI: 10.1137/050646032