Title :
The digital simulation of stochastic differential equations
Author_Institution :
Department of the Environment, London, England
fDate :
2/1/1974 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100468
