Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
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Publication:5700310
DOI10.1137/040612026zbMath1102.60059OpenAlexW1995290527MaRDI QIDQ5700310
M. V. Tretyakov, Grigori N. Milstein
Publication date: 28 October 2005
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/040612026
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)
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