ScholarLens Back to search
2014•Unpublished venueRequires access

Numerical Simulation of Stochastic Differential Equations

Raúl Toral, Pere Colet

Open publisher page 5 citations

Abstract

This chapter contains sections titled: Numerical Integration of Stochastic Differential Equations with Gaussian White Noise The Ornstein–Uhlenbeck Process: Exact Generation of Trajectories Numerical Integration of Stochastic Differential Equations with Ornstein–Uhlenbeck Noise Runge–Kutta-Type Methods Numerical Integration of Stochastic Differential Equations with Several Variables Rare Events: The Linear Equation with Linear Multiplicative Noise First Passage Time Problems Higher Order (?) Methods Further Reading and References Exercises

About this research paper

What this paper is about

This chapter contains sections titled: Numerical Integration of Stochastic Differential Equations with Gaussian White Noise The Ornstein–Uhlenbeck Process: Exact Generation of Trajectories Numerical Integration of Stochastic Differential Equations with Ornstein–Uhlenbeck Noise Runge–Kutta-Type Methods Numerical Integration of Stochastic Differential Equations with Several Variables Rare Events: The Linear Equation with Linear Multiplicative Noise First Passage Time Problems Higher Order (?) Methods Further Reading and References Exercises

Why it matters

OpenAlex reports 5 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This chapter contains sections titled: Numerical Integration of Stochastic Differential Equations with Gaussian White Noise The Ornstein–Uhlenbeck Process: Exact Generation of Trajectories Numerical Integration of Stochastic Differential Equations with Ornstein–Uhlenbeck Noise Runge–Kutta-Type Methods Numerical Integration of Stochastic Differential Equations with Several Variables Rare Events: The Linear Equation with Linear Multiplicative Noise First Passage Time Problems Higher Order (?) Methods Further Reading and References Exercises

Key concepts: Stochastic partial differential equation, Stochastic differential equation, Mathematics, Multiplicative noise, White noise, Ornstein–Uhlenbeck process, Applied mathematics, Numerical integration

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Numerical Simulation of Stochastic Differential Equations — Research Paper | ScholarLens