An Introduction to the Numerical Simulation of Stochastic Differential Equations

被引:0
|
作者
Leobacher, Gunther [1 ]
机构
[1] Karl Franzens Univ Graz, Graz, Austria
关键词
D O I
暂无
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
引用
收藏
页码:1192 / 1192
页数:1
相关论文
共 50 条
  • [41] Multivalued Stochastic differential equations: Convergence of a numerical scheme
    Bernardin, F
    SET-VALUED ANALYSIS, 2003, 11 (04): : 393 - 415
  • [42] A numerical scheme for backward doubly stochastic differential equations
    Aman, Auguste
    BERNOULLI, 2013, 19 (01) : 93 - 114
  • [43] Numerical methods for backward stochastic differential equations: A survey
    Chessari, Jared
    Kawai, Reiichiro
    Shinozaki, Yuji
    Yamada, Toshihiro
    PROBABILITY SURVEYS, 2023, 20 : 486 - 567
  • [44] Numerical methods for random and stochastic partial differential equations
    Alexey Chernov
    Arnaud Debussche
    Fabio Nobile
    Stochastics and Partial Differential Equations Analysis and Computations, 2016, 4 (1): : 1 - 2
  • [45] NUMERICAL-INTEGRATION OF STOCHASTIC DIFFERENTIAL-EQUATIONS
    GREINER, A
    STRITTMATTER, W
    HONERKAMP, J
    JOURNAL OF STATISTICAL PHYSICS, 1988, 51 (1-2) : 95 - 108
  • [46] Numerical methods for random and stochastic partial differential equations
    Chernov, Alexey
    Debussche, Arnaud
    Nobile, Fabio
    STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2016, 4 (01): : 1 - 2
  • [47] NUMERICAL SOLUTIONS OF STOCHASTIC DIFFERENTIAL DELAY EQUATIONS WITH JUMPS
    Zhao, Guihua
    Song, Minghui
    Liu, Mingzhu
    INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING, 2009, 6 (04) : 659 - 679
  • [48] NUMERICAL-INTEGRATION OF STOCHASTIC DIFFERENTIAL-EQUATIONS
    HELFAND, E
    BELL SYSTEM TECHNICAL JOURNAL, 1979, 58 (10): : 2289 - 2299
  • [49] Numerical Solution of Stochastic Differential Equations with Jumps in Finance
    Polasek, Wolfgang
    Shaparova, Evelina
    INTERNATIONAL STATISTICAL REVIEW, 2013, 81 (02) : 311 - 313
  • [50] Numerical Method for Reflected Backward Stochastic Differential Equations
    Martinez, Miguel
    San Martin, Jaime
    Torres, Soledad
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2011, 29 (06) : 1008 - 1032