WIAS Preprint No. 43, (1993)

Numerical methods for stochastic differential equations.



Authors

  • Kloeden, Peter E.
  • Platen, Eckhard

2010 Mathematics Subject Classification

  • 60H10

Keywords

  • Stochastic differential equations, numerical stimulations

DOI

10.20347/WIAS.PREPRINT.43

Abstract

Numerical methods for stochastic differential equations, including Taylor expansion approximations, Runge-Kutta like methods and implicit methods, are summarized. Important differences between simulation techniques with respect to the strong (pathwise) and the weak (distributional) approximation criteria are discussed. Applications to the visualization of nonlinear stochastic dynamics. the computation of Lyapunov exponents and stochastic bifurcations are also presented.

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