Numerical solution of stochastic differential equations

Denis Talay

doi:10.1080/17442509408833885

Numerical solution of stochastic differential equations

Stochastics and Stochastics Reports ◽

10.1080/17442509408833885 ◽

1994 ◽

Vol 47 (1-2) ◽

pp. 121-126 ◽

Cited By ~ 4

Author(s):

Denis Talay

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations

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Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise

Advances in Difference Equations ◽

10.1186/s13662-015-0398-6 ◽

2015 ◽

Vol 2015 (1) ◽

Cited By ~ 1

Author(s):

Morteza Khodabin ◽

Majid Rostami

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Fourth Order ◽

Mean Square ◽

Kutta Method ◽

Electric Circuits ◽

Runge Kutta Method ◽

Runge Kutta

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The composite Milstein methods for the numerical solution of Ito stochastic differential equations

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2010.10.026 ◽

2011 ◽

Vol 235 (8) ◽

pp. 2277-2299 ◽

Cited By ~ 15

Author(s):

M.A. Omar ◽

A. Aboul-Hassan ◽

S.I. Rabia

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations

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2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.13. Applying SDE for Numerical Solution of Linear Elliptic and Parabolic Equations

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations ◽

10.1515/9783110944662.133 ◽

2011 ◽

Keyword(s):

Cauchy Problem ◽

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Statistical Simulation ◽

Problem Solution ◽

Elliptic And Parabolic Equations ◽

The Cauchy Problem

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2. Statistical Simulation of the Cauchy Problem Solution for Systems of Stochastic Differential Equations. 2.12. Numerical Solution of SDE System with Poisson Component

Numerical Analysis of Systems of Ordinary and Stochastic Differential Equations ◽

10.1515/9783110944662.128 ◽

2011 ◽

Keyword(s):

Cauchy Problem ◽

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Statistical Simulation ◽

Problem Solution ◽

The Cauchy Problem ◽

Poisson Component

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Kloeden, P. E.; Platen, E., Numerical Solution of Stochastic Differential Equations. Berlin etc., Springer-Verlag 1992. XXXVI, 632 pp., 85 figs., DM 118,OO. ISBN 3-540-54062-8 (Applications of Mathematics 23)

ZAMM ‐ Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik ◽

10.1002/zamm.19940740806 ◽

1994 ◽

Vol 74 (8) ◽

pp. 332-332

Author(s):

J. Vom Scheidt

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations

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Development and Application of the Fourier Method for the Numerical Solution of Ito Stochastic Differential Equations

Computational Mathematics and Mathematical Physics ◽

10.1134/s0965542518070096 ◽

2018 ◽

Vol 58 (7) ◽

pp. 1058-1070 ◽

Cited By ~ 1

Author(s):

D. F. Kuznetsov

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Fourier Method

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A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations

Stochastic Analysis and Applications ◽

10.1080/07362999408809341 ◽

1994 ◽

Vol 12 (1) ◽

pp. 131-140 ◽

Cited By ~ 2

Author(s):

S.T. Goodlett ◽

E.J. Allen

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Variance Reduction ◽

Euler Method ◽

Reduction Technique ◽

Variance Reduction Technique

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