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Stochastic Differential Equations: Theory and Practice of Numerical Solution. With Programs on PYTHON and MATLAB
This monograph is devoted to the problem of numerical integration of stochastic differential equations (SDEs), mainly Ito SDEs. More precisely, the book mainly discusses high-order strong numerical methods with orders of accuracy 1.0, 1.5, 2.0, 2.5, and 3.0 for SDEs. The Euler (Euler-Maruyama) metho
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