A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (Q3738494): Difference between revisions
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English | A second-order Monte Carlo method for the solution of the Ito stochastic differential equation |
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A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (English)
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1986
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vector Ito stochastic differential equation
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Taylor series expansion
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difference equation
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Monte Carlo simulation
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numerical results
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convergence
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homogeneous Langevin equation
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