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- W2036522227 abstract "Stochastic differential equations (SDE's) play an important role in physics but existing numerical methods for solving such equations are of low accuracy and poor stability. A general strategy for developing accurate and efficient schemes for solving stochastic equations is outlined here. High-order numerical methods are developed for the integration of stochastic differential equations with strong solutions. We demonstrate the accuracy of the resulting integration schemes by computing the errors in approximate solutions for SDE's which have known exact solutions." @default.
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- W2036522227 date "2004-07-21" @default.
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- W2036522227 title "Numerical methods for stochastic differential equations" @default.
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- W2036522227 doi "https://doi.org/10.1103/physreve.70.017701" @default.
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