Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
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Publication:4377355
DOI10.1137/S0036139995286515zbMath0888.60046OpenAlexW2019795760MaRDI QIDQ4377355
J. G. Gaines, Terence J. Lyons
Publication date: 9 February 1998
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036139995286515
stochastic differential equationsnumerical approximationBrownian pathsdiscretization schemesLévy areas
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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