Professional paper
Numerical solving of stochastic differential equations
R. Horváth Bokor
Abstract
This paper provides an introduction to stochastic calculus and stochastic differential equations, in both theory and applications, emphasizing the numerical methods needed to solve such equations.
Keywords
stochastic differential equations; strong solutions; numerical schemes
Hrčak ID:
878
URI
Publication date:
11.12.1999.
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