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
引用
收藏
页码:2289 / 2299
页数:11
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