Algorithmic Solution of Stochastic Differential Equations
Copyright policy )Algorithmic Solution of Stochastic Differential Equations
This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.
- Southern Illinois University Carbondale United States
Numerical solutions to stochastic differential and integral equations, Ordinary differential equations and systems with randomness, Industrial engineering. Management engineering, Electronic computers. Computer science, strong solution, PDE-based algorithm, QA75.5-76.95, T55.4-60.8, stochastic differential equations, Stochastic ordinary differential equations (aspects of stochastic analysis)
Numerical solutions to stochastic differential and integral equations, Ordinary differential equations and systems with randomness, Industrial engineering. Management engineering, Electronic computers. Computer science, strong solution, PDE-based algorithm, QA75.5-76.95, T55.4-60.8, stochastic differential equations, Stochastic ordinary differential equations (aspects of stochastic analysis)
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