NUMERICAL-INTEGRATION OF STOCHASTIC DIFFERENTIAL-EQUATIONS .2.

被引:168
作者
GREENSIDE, HS
HELFAND, E
机构
来源
BELL SYSTEM TECHNICAL JOURNAL | 1981年 / 60卷 / 08期
关键词
D O I
10.1002/j.1538-7305.1981.tb00303.x
中图分类号
TM [电工技术]; TN [电子技术、通信技术];
学科分类号
0808 ; 0809 ;
摘要
引用
收藏
页码:1927 / 1940
页数:14
相关论文
共 7 条
  • [1] [Anonymous], 1963, J AUSTR MATH SOC, DOI [DOI 10.1017/S1446788700027932, 10.1017/S1446788700027932]
  • [2] NUMERICAL-INTEGRATION OF STOCHASTIC DIFFERENTIAL-EQUATIONS
    HELFAND, E
    [J]. BELL SYSTEM TECHNICAL JOURNAL, 1979, 58 (10): : 2289 - 2299
  • [3] NUMERICAL-SOLUTION OF ITO INTEGRAL-EQUATIONS
    RAO, NJ
    BORWANKAR, JD
    RAMKRISHNA, D
    [J]. SIAM JOURNAL ON CONTROL, 1974, 12 (01): : 124 - 139
  • [4] RUMELIN W, UNPUBLISHED
  • [5] STROUD AH, 1974, NUMERICAL QUADRATURE
  • [6] DIGITAL-SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS
    WRIGHT, DJ
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (01) : 75 - 76
  • [7] YAMADA T, 1976, Z WAHRSCHEINLICHKEIT, V36, P153, DOI 10.1007/BF00533998