Numerical solutions of stochastic differential equations – implementation and stability issues

Burrage, Pamela, Burrage, Kevin, & Mitsui, Takemitsui (2000) Numerical solutions of stochastic differential equations – implementation and stability issues. Journal of Computational and Applied Mathematics, 125(1 Feb), pp. 171-182.

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Abstract

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively.

Impact and interest:

60 citations in Scopus
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49 citations in Web of Science®

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ID Code: 57911
Item Type: Journal Article
Refereed: Yes
Keywords: Stochastic differential equations , variable stepsize implementation techniques
DOI: 10.1016/S0377-0427(00)00467-2
ISSN: 0377-0427 (print)
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
Divisions: Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Deposited On: 08 Mar 2013 05:58
Last Modified: 12 Apr 2013 00:15

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