Convergence of Numerical Schemes for Stochastic Differential Equations
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Publication:2724977
DOI10.1515/mcma.2001.7.1-2.35zbMath0982.65007MaRDI QIDQ2724977
Publication date: 12 July 2001
Published in: mcma (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.35
stochastic differential equation; convergence; Euler method; Milshtein method; stochastic Newmark method
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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