Numerical solutions of stochastic differential equations - implementation and stability issues

[摘要] 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. (C) 2000 Elsevier Science B.V. All rights reserved.

[发布日期] 2000-12-15

[关键词] stability;stochastic differential equations;variable stepsize