Electronic Resource
College Park, Md.
:
American Institute of Physics (AIP)
Journal of Mathematical Physics
31 (1990), S. 1978-1990
ISSN:
1089-7658
Source:
AIP Digital Archive
Topics:
Mathematics
,
Physics
Notes:
Procedures are discussed for the numerical construction of sample processes on stochastic differential equations. Structures of a relevant class of Gaussian white-noise functionals are analyzed to some closed forms, and new numerical algorithms for single noise problems are presented up to the accuracy of O(h3), or within errors of O(h7/2), in the sense of the mean-square norm.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1063/1.528647
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