Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
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Publication:3773300
DOI10.2307/2008326zbMath0634.65149MaRDI QIDQ3773300
Publication date: 1987
Full work available at URL: https://doi.org/10.2307/2008326
numerical examples; diffusions; Gaussian random variables; mean square convergence; variance reduction technique; Runge-Kutta-method
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
65C99: Probabilistic methods, stochastic differential equations
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