DocumentCode
813743
Title
The digital simulation of stochastic differential equations
Author
Wright, D.J.
Author_Institution
Department of the Environment, London, England
Volume
19
Issue
1
fYear
1974
fDate
2/1/1974 12:00:00 AM
Firstpage
75
Lastpage
76
Abstract
The production of the Itocirc; and Stratonovich solutions of a stochastic differential equation by various numerical integration procedures are discussed and questions of accuracy are explored. The relevant features of stochastic calculus theory are summarized.
Keywords
Numerical integration; Stochastic differential equations; Bridges; Calculus; Control engineering; Councils; Differential equations; Digital simulation; Integral equations; Production; Stochastic processes; Testing;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1974.1100468
Filename
1100468
Link To Document