Application of the numerical integration of stochastic equations to solving boundary-value probles with Neumann's boundary conditions

Theory of Probability and its Applications

Volumn 41, Issue 1, 1996, Pages 170-177

  Milshtein, G N ^a  

^a URAL FEDERAL UNIVERSITY   (Russian Federation)

Author keywords

Monte Carlo methods for solving problems of mathematical physics; Numerical integration of stochastic differential equations; One step order of accuracy of a method; Weak approximation of solutions of stochastic differential equations

Indexed keywords

EID: 0030344091     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (6)

1. V. P. MIKHAILOV, Partial Differential Equations, Nauka, Moscow, 1976 (in Russian).
2. I. I. GIKHMAN AND A. V. SKOROKHOD, Stochastic Differential Equations and Their Applications, Naukova Dumka, Kiev, Ukraine, 1982 (in Russian).
3. N. IKEDA AND S. WATANABE, Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam, 1981.
4. H. J. KUSHNER, Probability Methods for Approximations in Stochastic Control and for Elliptic Equations, Academic Press, New York, 1977.
5. G. N. MILSHTEIN, Solving the first boundary value problem for parabolic equations by integration of stochastic differential equations, Theory Probab. Appl., 40 (1995), pp. 657-665.
6. A. D. WENTZELL, A Course in the Theory of Stochastic Processes, Nauka, Moscow, 1975 (in Russian).