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An algorithmic introduction to numerical simulation of stochastic differential equations. (English) Zbl 0979.65007

MSC:
65C30 Numerical solutions to stochastic differential and integral equations
60-04 Software, source code, etc. for problems pertaining to probability theory
65L06 Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
65L20 Stability and convergence of numerical methods for ordinary differential equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
34F05 Ordinary differential equations and systems with randomness
Software:
Matlab
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