A 2ND-ORDER MONTE-CARLO METHOD FOR THE SOLUTION OF THE ITO STOCHASTIC DIFFERENTIAL-EQUATION

被引：13

|

作者：

HAWORTH, DC ^{[1
]}

POPE, SB ^{[1
]}

机构：

[1] CORNELL UNIV,SIBLEY SCH MECH & AEROSP ENGN,ITHACA,NY 14853

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1986年 / 4卷 / 02期

关键词：

D O I：

10.1080/07362998608809086

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

引用

收藏

页码：151 / 186

页数：36

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