论文信息 - Numerical solutions of stochastic differential equations – implementation and stability issues

Numerical solutions of stochastic differential equations – implementation and stability issues

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively.

Kevin Burrage | Pamela Burrage | Takemitsui Mitsui

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