Numerical methods for Stochastic differential equations: two examples
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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Article history: Received 23 May 2011 Received in revised form 3 October 2011 Accepted 27 November 2011 Available online 13 December 2011
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ژورنال
عنوان ژورنال: ESAIM: Proceedings and Surveys
سال: 2018
ISSN: 2267-3059
DOI: 10.1051/proc/201864065