Algorithmic Solution of Stochastic Differential Equations
This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes an...
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| Format: | Article |
| Language: | English |
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MDPI AG
2010-07-01
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| Series: | Algorithms |
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| Online Access: | http://www.mdpi.com/1999-4893/3/3/216/ |