scientific article; zbMATH DE number 4028851
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Publication:3769935
Itô stochastic differential equationsmomentsMonte Carlo simulationRunge-Kutta methodstiff equationtrapezoidal methodvector computers
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05) Parallel numerical computation (65Y05)
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