The optimal discretization of stochastic differential equations
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Publication:5938583
DOI10.1006/jcom.2000.0570zbMath0991.60047OpenAlexW2011610640MaRDI QIDQ5938583
Thomas Müller-Gronbach, Klaus Ritter, Norbert Hofmann
Publication date: 23 July 2001
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jcom.2000.0570
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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