An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
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Publication:2700009
DOI10.1007/s11075-022-01401-zOpenAlexW4312127880WikidataQ120997955 ScholiaQ120997955MaRDI QIDQ2700009
Publication date: 20 April 2023
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2201.08424
Juliastochastic differential equationsoftware toolboxstochastic partial differential equationstochastic simulationLévy area\textsc{Matlab}iterated stochastic integral
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LevyArea.jl, A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
Uses Software
Cites Work
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