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5. Efficient Numerical Methods for Brownian,Langevin and Other Stochastic Differential Equations for Sa

Efficient Numerical Methods for Brownian,Langevin and Other Stochastic Differential Equations for Sa

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：yeximajor

【摘 要】

：

　　With the correct choice of numerical method,stochastic differential equations(SDEs)provide a rigorous,efficient and flexible approach to calculating average

【作 者】

：

LeimkuhlerBenedict; 

【机 构】

：

Univ.of Edinburgh

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　With the correct choice of numerical method,stochastic differential equations(SDEs)provide a rigorous,efficient and flexible approach to calculating averages with respect to a prescribed distribution.I will discuss efficient discretization methods and numerical analysis for systems of gradient type.

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