The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
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Publication:313640
DOI10.1016/j.cam.2016.04.011zbMath1468.65007OpenAlexW2346607720MaRDI QIDQ313640
Silvia Jerez, Saúl Díaz-Infante
Publication date: 12 September 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.011
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)
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