Numerical Solution of Free Stochastic Differential Equations
DOI10.1137/22m1526393arXiv2210.00348OpenAlexW4388704974MaRDI QIDQ6070723
Unnamed Author, Georg Schlüchtermann
Publication date: 24 November 2023
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2210.00348
strong convergenceweak convergencefree probability theorystochastic differential equationsrandom matrix theoryEuler-Maruyama methodfree stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free probability and free operator algebras (46L54) Noncommutative probability and statistics (46L53) Numerical solutions to stochastic differential and integral equations (65C30)
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