An algorithm for random walks over small ellipsoids for solving the
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 33 (1993) no. 5, pp. 704-725 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{ZVMMF_1993_33_5_a4,
     author = {G. N. Mil'shtein and N. F. Rybkina},
     title = {An algorithm for random walks over small ellipsoids for solving the},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {704--725},
     year = {1993},
     volume = {33},
     number = {5},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_1993_33_5_a4/}
}
TY  - JOUR
AU  - G. N. Mil'shtein
AU  - N. F. Rybkina
TI  - An algorithm for random walks over small ellipsoids for solving the
JO  - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
PY  - 1993
SP  - 704
EP  - 725
VL  - 33
IS  - 5
UR  - http://geodesic.mathdoc.fr/item/ZVMMF_1993_33_5_a4/
LA  - ru
ID  - ZVMMF_1993_33_5_a4
ER  - 
%0 Journal Article
%A G. N. Mil'shtein
%A N. F. Rybkina
%T An algorithm for random walks over small ellipsoids for solving the
%J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
%D 1993
%P 704-725
%V 33
%N 5
%U http://geodesic.mathdoc.fr/item/ZVMMF_1993_33_5_a4/
%G ru
%F ZVMMF_1993_33_5_a4
G. N. Mil'shtein; N. F. Rybkina. An algorithm for random walks over small ellipsoids for solving the. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 33 (1993) no. 5, pp. 704-725. http://geodesic.mathdoc.fr/item/ZVMMF_1993_33_5_a4/

[1] Miranda K., Uravneniya s chastnymi proizvodnymi ellipticheskogo tipa, Izd-vo inostr. lit., M., 1957

[2] Elepov B. S., Kronberg A. A., Mikhailov G. A., Sabelfeld K. K., Reshenie kraevykh zadach metodom Monte-Karlo, Nauka, Novosibirsk, 1980 | MR | Zbl

[3] Ermakov S. M., Nekrutkin V. V., Sipin A. S., Sluchainye protsessy dlya resheniya klassicheskikh uravnenii matematicheskoi fiziki, Nauka, M., 1984 | MR

[4] Sabelfeld K. K., Metody Monte-Karlo v kraevykh zadachakh, Nauka, Novosibirsk, 1989 | MR

[5] Milshtein G. N., “Priblizhennoe integrirovanie stokhasticheskikh differentsialnykh uravnenii”, Teor. veroyatnostei i ee primeneniya, 19:3 (1974), 583–588

[6] Platen E., “Metod approksimatsii dlya klassa protsessov Ito”, Litovskii matem. sb., 21:1 (1981), 121–133 | MR | Zbl

[7] Gladyshev S. A., Milshtein G. N., “Metod Runge-Kutta dlya vychisleniya vinerovskikh integralov ot funktsionalov eksponentsialnogo tipa”, Zh. vychisl. matem. i matem. fiz., 24:8 (1984), 1136–1150 | MR

[8] Milshtein G. N., “Slabaya approksimatsiya reshenii sistem stokhasticheskikh differentsialnykh uravnenii”, Teor. veroyatnostei i ee primeneniya, 30:4 (1985), 706–721 | MR

[9] Pardoux E., Talay D., “Discretization and simulation of stochastic differential equations”, Acta Appl. Math., 3:1 (1985), 23–47 | DOI | MR | Zbl

[10] Milshtein G. N., Chislennoe integrirovanie stokhasticheskikh differentsialnykh uravnenii, Izd-vo Uralsk. un-ta, Sverdlovsk, 1988 | MR

[11] Dynkin E. B., Markovskie protsessy, Fizmatgiz, M., 1963 | MR | Zbl

[12] Liptser R. Sh., Shiryaev A. N., Statistika sluchainykh protsessov, Nauka, M., 1974 | MR | Zbl

[13] Venttsel A. D., Kurs teorii sluchainykh protsessov, Nauka, M., 1975 | MR