Numerical approximation for one type of stochastic differential equations based on the Legendre polynomials
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Publication:3073019
numerical examplesstochastic differential equationsexponential convergenceLegendre polynomialdecay coefficientstochastic diffusions
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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