Numerical Integration of Stochastic Differential Equations

Tools for Computational Finance - Universitext ◽

10.1007/978-3-662-04711-8_3 ◽

2002 ◽

pp. 79-98

Author(s):

Rüdiger Seydel

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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Comment on “Diffusion processes in composite porous media and their numerical integration by random walks: Generalized stochastic differential equations with discontinuous coefficients” by E. M. LaBolle, J. Quastel, G. E. Fogg, and J. Gravner

Water Resources Research ◽

10.1029/2005wr004091 ◽

2006 ◽

Vol 42 (2) ◽

Cited By ~ 7

Author(s):

Doo-Hyun Lim

Keyword(s):

Porous Media ◽

Differential Equations ◽

Random Walks ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Diffusion Processes ◽

Discontinuous Coefficients

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Numerical Integration of Multiplicative-Noise Stochastic Differential Equations

SIAM Journal on Numerical Analysis ◽

10.1137/0722069 ◽

1985 ◽

Vol 22 (6) ◽

pp. 1153-1166 ◽

Cited By ~ 81

Author(s):

John R. Klauder ◽

Wesley P. Petersen

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Multiplicative Noise

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Numerical integration of stochastic differential equations: weak second-order mid-point scheme for application in the composition PDF method

Journal of Computational Physics ◽

10.1016/s0021-9991(02)00054-2 ◽

2003 ◽

Vol 185 (1) ◽

pp. 194-212 ◽

Cited By ~ 20

Author(s):

Renfeng Cao ◽

Stephen B. Pope

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Second Order ◽

Point Scheme

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Numerical Integration of Stochastic Differential Equations

Bell System Technical Journal ◽

10.1002/j.1538-7305.1979.tb02967.x ◽

1979 ◽

Vol 58 (10) ◽

pp. 2289-2299 ◽

Cited By ~ 131

Author(s):

E. Helfand

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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Runge-Kutta Algorithm for the Numerical Integration of Stochastic Differential Equations

Journal of Guidance Control and Dynamics ◽

10.2514/3.56665 ◽

1995 ◽

Vol 18 (1) ◽

pp. 114-120 ◽

Cited By ~ 43

Author(s):

N. Jeremy Kasdin

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Runge Kutta

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Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations

Journal of Computational Physics ◽

10.1016/j.jcp.2003.12.001 ◽

2004 ◽

Vol 197 (1) ◽

pp. 275-298 ◽

Cited By ~ 7

Author(s):

G.N. Milstein ◽

M.V. Tretyakov

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

SIAM Journal on Numerical Analysis ◽

10.1137/040612026 ◽

2005 ◽

Vol 43 (3) ◽

pp. 1139-1154 ◽

Cited By ~ 47

Author(s):

G. N. Milstein ◽

M. V. Tretyakov

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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Numerical integration of stochastic differential equations

Journal of Statistical Physics ◽

10.1007/bf01015322 ◽

1988 ◽

Vol 51 (1-2) ◽

pp. 95-108 ◽

Cited By ~ 140

Author(s):

A. Greiner ◽

W. Strittmatter ◽

J. Honerkamp

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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Numerical Integration of Stochastic Differential Equations

10.1007/978-94-015-8455-5 ◽

1995 ◽

Cited By ~ 203

Author(s):

G. N. Milstein

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration

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A Lie Algebraic Approach to Numerical Integration of Stochastic Differential Equations

SIAM Journal on Scientific Computing ◽

10.1137/s106482750037024x ◽

2001 ◽

Vol 23 (3) ◽

pp. 866-890 ◽

Cited By ~ 23

Author(s):

Tetsuya Misawa

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Integration ◽

Algebraic Approach

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