NUMERICAL-INTEGRATION OF STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：142

作者：

HELFAND, E

机构：

来源：

BELL SYSTEM TECHNICAL JOURNAL | 1979年 / 58卷 / 10期

关键词：

D O I：

10.1002/j.1538-7305.1979.tb02967.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：

A procedure for numerical integration of a stochastic differential equation, by extension of the Runge‐Kutta method, is presented. The technique produces results which are statistically correct to a given order in the time step. Second‐ and third‐order approximations are explicitly displayed. © 1979 The Bell System Technical Journal

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页码：2289 / 2299

页数：11

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