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You are here: Home :: Keyword index :: ray bis sof :: self-monitoring - sensitivity matrices semi-implicit scheme

Items for "semi-implicit scheme"

Approximating and Simulating Multivalued Stochastic Differential Equations

We propose a two-step simulation scheme for the solution of a singular stochastic differential equation with exploding drift...

Keywords: Multivalued stochastic differential equations, Yosida approximation, interacting Brownian particles, semi-implicit scheme

06/2004 | Monte Carlo Methods and Applications, Walter de Gruyter