Efficient numerical solution of stochastic differential equations using exponential timestepping

Journal of Statistical Physics

Volumn 100, Issue 5-6, 2000, Pages 1097-1109

  Jansons, Kalvis M ^a   Lythe, G D ^b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Diffusion with boundaries; Stochastic algorithms; Stochastic calculus; Wiener process

Indexed keywords

EID: 0034258578     PISSN: 00224715     EISSN: None     Source Type: Journal    
DOI: 10.1023/a:1018711024740     Document Type: Article

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