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- W2315674767 abstract "A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler's method for de- terministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probabilitytheoryor stochastic processes is assumed. The article is built around 10 MATLAB programs, and the topics covered include stochastic integration, the Euler-Maruyama method, Milstein's method, strong and weak convergence, linear stability, and the stochastic chain rule." @default.
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- W2315674767 date "2001-01-01" @default.
- W2315674767 modified "2023-09-27" @default.
- W2315674767 title "An Algorithmic Introduction to Numerical Simulation of" @default.
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