×

Found 8 Documents (Results 1–8)

Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion. (English. Russian original) Zbl 1469.65032

Comput. Math. Math. Phys. 60, No. 3, 379-389 (2020); translation from Zh. Vychisl. Mat. Mat. Fiz. 60, No. 3, 379-390 (2020).
MSC:  65C30 60H10
PDFBibTeX XMLCite
Full Text: DOI arXiv

A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations. (English. Russian original) Zbl 07139676

Comput. Math. Math. Phys. 59, No. 8, 1236-1250 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 8, 1299-1313 (2019).
MSC:  65-XX 60-XX
PDFBibTeX XMLCite
Full Text: DOI arXiv

Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations. (English. Russian original) Zbl 1483.65016

Comput. Math. Math. Phys. 58, No. 7, 1058-1070 (2018); translation from Zh. Vychisl. Mat. Mat. Fiz. 58, No. 7 (2018).
MSC:  65C30 60H05 60H10
PDFBibTeX XMLCite
Full Text: DOI arXiv

Stochastic differential equations: theory and practice of numerical solution. With Matlab programs. 5th edition. (Стохастические дифференциальные уравнения: теория и практика численного решения. С программами в среде Matlab.) (Russian) Zbl 1368.60004

PDFBibTeX XMLCite
Full Text: Link

Filter Results by …

Document Type

all top 5

Year of Publication

Main Field

all top 3

Software