Difference methods for stochastic ordinary differential equations

Author:
Joel N. Franklin

Journal:
Math. Comp. **19** (1965), 552-561

MSC:
Primary 34.60; Secondary 65.61

DOI:
https://doi.org/10.1090/S0025-5718-1965-0193340-2

MathSciNet review:
0193340

Full-text PDF Free Access

References | Similar Articles | Additional Information

**[1]**W. B. Davenport, Jr. & W. L. Root,*An Introduction to the Theory of Random Signals and Noise*, McGraw-Hill, New York, 1958. MR**19**, 1090. MR**0092275 (19:1090b)****[2]**David Middleton,*An Introduction to Statistical Communication Theory*, International Series in Applied Physics, McGraw-Hill, New York, 1960. MR**22**#9334. MR**0118561 (22:9334)****[3]**Emanuel Parzen,*Stochastic processes*, Holden-Day, San Francisco, Calif., 1962. MR**25**#2628. MR**0139192 (25:2628)****[4]**Nelson Wax, (Ed.),*Selected Papers on Noise and Stochastic Processes*, Dover, New York, 1954. MR**15**, 970. MR**0062373 (15:970a)****[5]**G. E. P. Box & M. E. Muller, "A note on the generation of random normal deviates,"*Ann. Math. Statist.*, v. 29, 1958, pp. 610-611.**[6]**J. N. Franklin, "Deterministic simulation of random processes,"*Math. Comp.*, v. 17, 1963, pp. 28-59. MR**26**#7125. MR**0149640 (26:7125)****[7]**J. N. Franklin, "The covariance matrix of a continuous autoregressive vector time series,"*Ann. Math. Statist*, v. 34, 1963, pp. 1259-1264. MR**27**#5297. MR**0155363 (27:5297)****[8]**J. N. Franklin, "Numerical simulation of stationary and nonstationary Gaussian random processes,"*SIAM Rev.*, v. 7, January, 1965. MR**0179913 (31:4150)****[9]**M. Loève,*Probability Theory*, (2nd ed.), The University Series in Higher Mathematics, Van Nostrand, New York, 1960. MR**23**#A670. MR**0123342 (23:A670)**

Retrieve articles in *Mathematics of Computation*
with MSC:
34.60,
65.61

Retrieve articles in all journals with MSC: 34.60, 65.61

Additional Information

DOI:
https://doi.org/10.1090/S0025-5718-1965-0193340-2

Article copyright:
© Copyright 1965
American Mathematical Society