Adaptive time-stepping for the strong numerical solution of stochastic differential equations (Q2340361)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive time-stepping for the strong numerical solution of stochastic differential equations |
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Adaptive time-stepping for the strong numerical solution of stochastic differential equations (English)
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16 April 2015
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stochastic differential equations
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adaptive time-stepping
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PI control
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Milstein method
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strong numerical approximation
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commutative noise
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Richardson extrapolation
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numerical test
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