Topics in the numerical simulation of pathwise solutions to stochastic differential equations
This work contains several developments in the area of numerical solution of pathwise solutions to stochastic differential equations (SDE's). In the first chapter we define and motivate pathwise solutions and give a brief survey of numerical methods for approximating them. The main key to enlar...
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University of Edinburgh
1995
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.651182 |