The numerical solution of stochastic differential equations-Reference-Cited by-同舟云学术

The numerical solution of stochastic differential equations

Published:1977-06 Issue:1 Volume:20 Page:8-12
ISSN:0334-2700
Container-title:The Journal of the Australian Mathematical Society. Series B. Applied Mathematics
language:en
Short-container-title:J. Aust. Math. Soc. Series B, Appl. Math

Author:

Kloeden P. E.,Pearson R. A.

Abstract

AbstractA method is proposed for the numerical solution of Itô stochastic differential equations by means of a second-order Runge–Kutta iterative scheme rather than the less efficient Euler iterative scheme. It requires the Runge–Kutta iterative scheme to be applied to a different stochastic differential equation obtained by subtraction of a correction term from the given one.

Publisher

Cambridge University Press (CUP)

Subject

Applied Mathematics

Reference8 articles.

1. The digital simulation of stochastic differential equations

2. [3] Kuo S. S. , Computer Applications of Numerical Methods, Addison-Wesley, Reading, Mass. (1972).

3. Numerical Solution of Ito Integral Equations

4. [4] McShane E. J. , “Stochastic differential equations and models of random processes”, in Proc. Sixth Berkeley Symp. Probability and Mathematical Statistics (1971) 263–294.

5. [7] Wong E. , Stochastic Processes in Information and Dynamical Systems, McGraw-Hill, New York (1971).

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