Numerical approximation of Stratonovich SDEs and SPDEs
We consider the numerical approximation of stochastic differential and partial differential equations S(P)DEs, by means of time-differencing schemes which are based on exponential integrator techniques. We focus on the study of two numerical schemes, both appropriate for the simulation of Stratonovi...
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Heriot-Watt University
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.686136 |