| EPSRC Reference: |
GR/T19100/01 |
| Title: |
Numerical Methods for Stochastic Differential Equations |
| Principal Investigator: |
Higham, Professor D |
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| Department: |
Mathematics and Statistics |
| Organisation: |
University of Strathclyde |
| Scheme: |
Mathematics Small Grant PreFEC |
| Starts: |
20 May 2004 |
Ends: |
19 August 2004 |
Value (£): |
1,794
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| No relevance to Underpinning Sectors |
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Summary on Grant Application Form |
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Stochastic differential equations (SDEs) arise in mathematical models of physical systems which possess inherent noise and uncertainty. In many cases the models are nonlinear and cannot be solved analytically. This motivates the use of computer simulations. The proposal aims to give further understanding of the ability of computer simulations to recover correctly the long term behaviour of the SDE. W e will focus on an interesting class of SDEs and combine theoretical analysis with computational experiments.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.strath.ac.uk |