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Found 159 Documents (Results 1–100)

On Itô-Taylor expansion for stochastic differential equations with Markovian switching and its application in \(\gamma\in\{n/2:n \in\mathbb{N}\}\)-order scheme. arXiv:2211.11657

Preprint, arXiv:2211.11657 [math.PR] (2022).
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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
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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
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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
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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

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The Taylor series expansions for performance functions of queues: sensitivity analysis. (English) Zbl 1390.60335

Dudin, Alexander (ed.) et al., Analytical and stochastic modeling techniques and applications. 20th international conference, ASMTA 2013, Ghent, Belgium, July 8–10, 2013. Proceedings. Berlin: Springer (ISBN 978-3-642-39407-2/pbk). Lecture Notes in Computer Science 7984, 1-11 (2013).
MSC:  60K25
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