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Numerical Stochastic Integration for Quasi-Symplectic Flows

✍ Scribed by Mannella, R.


Book ID
118189978
Publisher
Society for Industrial and Applied Mathematics
Year
2006
Tongue
English
Weight
299 KB
Volume
27
Category
Article
ISSN
1064-8275

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πŸ“œ SIMILAR VOLUMES


Efficient numerical integrators for stoc
✍ G. De Fabritiis; M. Serrano; P. EspaΓ±ol; P.V. Coveney πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 208 KB

The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for general SDEs can be derived using the Trotter expansion. It follow