Simulation of stochastic differential equations
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Publication:1335342
DOI10.1007/BF00773344zbMath0807.65147MaRDI QIDQ1335342
Taketomo Mitsui, Yoshihiro Saito
Publication date: 4 October 1994
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
error estimates; numerical experiments; initial value problems; Itô stochastic differential equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
65L05: Numerical methods for initial value problems involving ordinary differential equations
65L70: Error bounds for numerical methods for ordinary differential equations
65C99: Probabilistic methods, stochastic differential equations
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