The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
Fabienne Castell; Jessica Gaines
Annales de l'I.H.P. Probabilités et statistiques (1996)
- Volume: 32, Issue: 2, page 231-250
- ISSN: 0246-0203
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topCastell, Fabienne, and Gaines, Jessica. "The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations." Annales de l'I.H.P. Probabilités et statistiques 32.2 (1996): 231-250. <http://eudml.org/doc/77534>.
@article{Castell1996,
author = {Castell, Fabienne, Gaines, Jessica},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {numerical approximation; strong solutions of stochastic differential equations; noncommutative Lie algebra; multidimensional Brownian path; asymptotic efficiency},
language = {eng},
number = {2},
pages = {231-250},
publisher = {Gauthier-Villars},
title = {The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations},
url = {http://eudml.org/doc/77534},
volume = {32},
year = {1996},
}
TY - JOUR
AU - Castell, Fabienne
AU - Gaines, Jessica
TI - The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1996
PB - Gauthier-Villars
VL - 32
IS - 2
SP - 231
EP - 250
LA - eng
KW - numerical approximation; strong solutions of stochastic differential equations; noncommutative Lie algebra; multidimensional Brownian path; asymptotic efficiency
UR - http://eudml.org/doc/77534
ER -
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