Local linearization method for the numerical solution of stochastic differential equations
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Publication:1373252
DOI10.1007/BF00052324zbMath1002.60545MaRDI QIDQ1373252
P. A. Valdes, J. C. Jimenez, J. J. Riera, R. J. Biscay
Publication date: 20 January 2003
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
- A survey of numerical methods for stochastic differential equations
- Simulation of stochastic differential equations
- Continuous Markov processes and stochastic equations
- Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
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