On approximate evaluation of mathematical expectation of functionals from the solution to the linear Itô-Lévy equation
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Publication:5369747
Numerical quadrature and cubature formulas (65D32) 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) Optimal stochastic control (93E20)
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