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JOURNALS // Matematicheskoe modelirovanie // Archive

Mat. Model., 1990 Volume 2, Number 11, Pages 108–121 (Mi mm2486)

This article is cited in 2 papers

Computational methods and algorithms

Numerical methods of solving stochastic differential equations

A. V. Lukshin, S. N. Smirnov

M. V. Lomonosov Moscow State University

Abstract: The article has a review character and is devoted to the numerical methods of solving stochastic differential equations in respect to the Wiener random processes. The special stochastic calculation knowledge is not necessary. The new approach to the stability definition for mild and strong approximate solutions is presented.

Received: 17.10.1990



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