Numerical Integration of Stochastic Differential Equations
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Published By Springer Netherlands

9789048144877, 9789401584555

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Weak approximation of solutions of systems of stochastic differential equations

Numerical Integration of Stochastic Differential Equations ◽

10.1007/978-94-015-8455-5_4 ◽

1995 ◽

pp. 101-134

Author(s):

G. N. Milstein

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Weak Approximation

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Mean-square approximation of solutions of systems of stochastic differential equations

Numerical Integration of Stochastic Differential Equations ◽

10.1007/978-94-015-8455-5_2 ◽

1995 ◽

pp. 11-73 ◽

Cited By ~ 2

Author(s):

G. N. Milstein

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Mean Square

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Application of the numerical integration of stochastic equations for the Monte-Carlo computation of Wiener integrals

Numerical Integration of Stochastic Differential Equations ◽

10.1007/978-94-015-8455-5_5 ◽

1995 ◽

pp. 135-164

Author(s):

G. N. Milstein

Keyword(s):

Monte Carlo ◽

Numerical Integration ◽

Stochastic Equations ◽

Monte Carlo Computation

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Introduction

Numerical Integration of Stochastic Differential Equations ◽

10.1007/978-94-015-8455-5_1 ◽

1995 ◽

pp. 1-10 ◽

Cited By ~ 3

Author(s):

G. N. Milstein

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Modeling of Itô integrals

Numerical Integration of Stochastic Differential Equations ◽

10.1007/978-94-015-8455-5_3 ◽

1995 ◽

pp. 75-100

Author(s):

G. N. Milstein

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