Numerical Solution of Stochastic Differential Equations

Kloeden, P. E., & Platen. (1992). Numerical Solution of Stochastic Differential Equations. Springer.

Type

Book

Intellectual base

Review or monograph

Year

1992

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Cited by

1 citation across 1 artifact.

Domain-specific

• Leimkuhler–Matthews method
  • … instance directly demonstrates that the update uses the declared adjacent-increment combination and targets the invariant distribution of the stated overdamped stochastic differential equation. to An applied instance preserves the same invariant under a changed scale, notation, jurisdiction, or implementation..

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