Solution algorithm for parabolic equation by simulating stochastic processes
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Publication:3832032
parabolic equationrate of convergencestochastic differential equationsstochastic integralsstochastic process
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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