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COMPUTING METHOD OF STOCHASTIC DIFFERENTIAL EQUATION AND IT'S APPLICATION
LIU Xiao-qing, WU Sheng-Chang
CHINESE JOURNAL OF COMPUTATIONAL PHYSICS
2002, 19 (1):
1-7.
Construction of discretization schemes, convergence principle, strongly convergent scheme and weakly convergent scheme for stochastic differential equations as well as computing method of jump stochastic differential equation are presented. Related partial differential equations are solved by probability method. Finally several examples in application are given.
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