An implementation of Milstein's method for general bounded diffusions (Q2311990): Difference between revisions

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Latest revision as of 12:46, 28 August 2024

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An implementation of Milstein's method for general bounded diffusions
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    An implementation of Milstein's method for general bounded diffusions (English)
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    4 July 2019
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    stopped diffusion
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    reflected diffusion
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    Feynman-Kac formula
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    stochastic numerics
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    rank-one updates to matrix decompositions
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    eikonal equation
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