Adaptive weak approximation of stochastic differential equations
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Publication:4790252
DOI10.1002/cpa.10000zbMath1024.60028OpenAlexW2124633501MaRDI QIDQ4790252
Georgios E. Zouraris, Anders Szepessy, Raúl Tempone
Publication date: 28 January 2003
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.10000
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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