Efficient numerical solution of stochastic differential equations using exponential timestepping
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Publication:5927966
DOI10.1023/A:1018711024740zbMath0969.65004MaRDI QIDQ5927966
G. D. Lythe, Kalvis M. Jansons
Publication date: 19 March 2001
Published in: Journal of Statistical Physics (Search for Journal in Brave)
stochastic differential equationsdiffusions with boundariesdiscrete time approximation methodrandom stepsize
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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