A recursive integration method for approximate solution of stochastic differential equations

International Journal of Computer Mathematics

Volumn 66, Issue 1-2, 1998, Pages 53-66

  Abukhaled, M I ^a   Allen, E J ^b  

^a UNIVERSITY OF TEXAS PAN AMERICAN   (United States)

^b TEXAS TECH UNIVERSITY   (United States)

Author keywords

Extrapolation; First passage time; Numerical analysis; Stochastic differential equations

Indexed keywords

DIFFERENTIAL EQUATIONS; EXTRAPOLATION; INTEGRAL EQUATIONS; NUMERICAL ANALYSIS; STOCHASTIC SYSTEMS; APPROXIMATION THEORY; INTEGRATION; NUMERICAL METHODS; PROBABILITY;

APPROXIMATE SOLUTION; DETERMINISTIC APPROACH; FIRST PASSAGE TIME; FIRST PASSAGE TIME PROBLEM; INTEGRATION METHOD; NUMERICAL PROCEDURES; RECURSIVE INTEGRAL; STOCHASTIC DIFFERENTIAL EQUATIONS;

PROBABILITY DISTRIBUTIONS; DIFFERENCE EQUATIONS;

EXTRAPOLATION; STOCHASTIC DIFFERENTIAL EQUATIONS;

EID: 0031707289     PISSN: 00207160     EISSN: None     Source Type: Journal    
DOI: 10.1080/00207169808804624     Document Type: Article

References (10)

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