Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
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Error estimatesIto stochastic differential equationnumerical examplesRunge-Kutta methodWiener processes
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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