N-dimension numerical solution of stochastic differential equations
We introduce an order γ(γ>1/2) strong scheme and an improved weak scheme for the numerical approximation of solutions to stochastic differential equations (SDEs), driven by N Weinner processes. The strong scheme, called the ¾ Scheme, which is dependent on a differently constructed Brownian pa...
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University of Edinburgh
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.653870 |