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Computational aspects of the numerical solution of SDEs
thesisposted on 2001-01-01, 00:00 authored by Nicholas. Yannios
Compares the stochastic Taylor Series time discretisation (TS) approach to classical Finite-Element-Method in the solution of stochastic differential equations. Shows that the TS approach is an efficient and accurate technique that provides both transition and steady state solutions to the associated Fokker-Planck-Kolmogorov equation.