Simulation of stochastic differential equations through the local linearization method. A comparative study
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Publication:1809688
DOI10.1023/A:1004504506041zbMath0952.60068OpenAlexW1540934537MaRDI QIDQ1809688
J. C. Jimenez, Tohru Ozaki, Isao Shoji
Publication date: 27 January 2000
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1004504506041
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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