Simulation of Stochastic Differential Equations Through the Local Linearization Method. A Comparative Study

Author: Jimenez J.C.   Shoji I.   Ozaki T.  

Publisher: Springer Publishing Company

ISSN: 0022-4715

Source: Journal of Statistical Physics, Vol.94, Iss.3, 1999-02, pp. : 587-602

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Abstract