A note on convergence rate of a linearization method for the discretization of stochastic differential equations
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Publication:718587
DOI10.1016/j.cnsns.2010.09.008zbMath1221.65020MaRDI QIDQ718587
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.09.008
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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