Numerical integration of stochastic differential equations

descriptionPublicationkeyboard_double_arrow_right Article 01 Apr 1988 English Publisher:Springer Science and Business Media LLCJournal:Journal of Statistical Physics, volume 51, pages 95-108 (issn: 0022-4715, eissn: 1572-9613,

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Authors: Greiner, A.; Strittmatter, W.; Honerkamp, J.;

doi: 10.1007/bf01015322

Numerical integration of stochastic differential equations

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Abstract

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Related Organizations

University of Freiburg
Germany

Keywords

Numerical solutions to stochastic differential and integral equations, order of convergence, Numerical methods in equilibrium statistical mechanics, generation of random numbers, numerical treatment, Stochastic ordinary differential equations (aspects of stochastic analysis), Computational methods (statistical mechanics)

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