Numerical solution of stochastic differential equations with Poisson and Lévy white noise

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 80, Issue 2, 2009, Pages

  Grigoriu, M ^a  

^a Department of Obstetrics Gynecology   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOTION; COMPOUND POISSON PROCESS; EXACT SOLUTION; FIXED TIME STEP; FUNCTIONALS; INTEGRATION ALGORITHM; NUMERICAL EXAMPLE; NUMERICAL SOLUTION; STOCHASTIC DIFFERENTIAL EQUATIONS;

BROWNIAN MOVEMENT; EQUATIONS OF MOTION; INTEGRATION; MEASUREMENT THEORY; POISSON EQUATION; WHITE NOISE;

POISSON DISTRIBUTION;

EID: 70249134021     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.80.026704     Document Type: Article

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