A second-order Monte Carlo method for the solution of the Ito stochastic differential equation (Q3738494)

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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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