A modification of numerical methods for stochastic differential equations with the first integral (Q5043022): Difference between revisions

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+Statistical analysis of diffusion systems with invariants
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+Stochastic First Integrals, Kernel Functions for Integral Invariants and the Kolmogorov equations
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+Geometric Numerical Integration
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+Minimizing the variance of a mathematical expectation estimate for a diffusion process functional based on a parametric transformation of a parabolic boundary value problem
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+Solving approximately a prediction problem for stochastic jump-diffusion systems
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