Numerical Integration of Stochastic Differential Equations-II
- 1 October 1981
- journal article
- website
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Bell System Technical Journal
- Vol. 60 (8), 1927-1940
- https://doi.org/10.1002/j.1538-7305.1981.tb00303.x
Abstract
In a previous paper, a method was presented to integrate numerically nonlinear stochastic differential equations (SDEs) with additive, Gaussian, white noise. The method, a generalization of the Range Kutta algorithm, extrapolates from one point to th...Keywords
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