Numerical integration of stochastic differential equations with variable diffusivity
- 21 December 1986
- journal article
- Published by IOP Publishing in Journal of Physics A: General Physics
- Vol. 19 (18), 3871-3881
- https://doi.org/10.1088/0305-4470/19/18/032
Abstract
The authors construct two-stage second-order algorithms for integrating stochastic differential equations with variable diffusivity in one and higher dimensions.Keywords
This publication has 4 references indexed in Scilit:
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- Numerical Integration of Stochastic Differential Equations-IIBell System Technical Journal, 1981
- Numerical Integration of Stochastic Differential EquationsBell System Technical Journal, 1979