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Volumn 13, Issue 9, 2002, Pages 1177-1194

Integration of stochastic differential equations on a computer

Author keywords

Correlated noise; Large fluctuations; Numerical integration; Stochastic differential equations

Indexed keywords


EID: 0036870950     PISSN: 01291831     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0129183102004042     Document Type: Conference Paper
Times cited : (167)

References (33)
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  • 9
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    • (1986) Markov Processes Characterization and Convergence
    • Ethier, S.N.1    Kurtz, T.G.2
  • 10
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    • (1973) Stochastic Differential Equations: Theory and Applications
    • Arnold, L.1
  • 11
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    • Springer
    • T. T. Soong, Random Differential Equations in Science and Engineering (Academic Press, 1973); S. N. Ethier and T. G. Kurtz, Markov Processes Characterization and Convergence (Wiley Series in Probability and Mathematical Statistics, 1986); L. Arnold, Stochastic Differential Equations: Theory and Applications (Wiley Interscience Publication, 1973); I.I. Gikhman and A. V. Skorokhod, Stochastic Differential Equations (Springer, 1972).
    • (1972) Stochastic Differential Equations
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    • Milstein, G.N.1
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    • Strittmatter, W.1
  • 22
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    • Unsolved problems of noise
    • Woodbury, NY
    • D. Abbott and L. Kish (eds.), Unsolved Problems of Noise, AIP Conference Proceedings, Vol. 511 (Woodbury, NY, 2000).
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  • 27
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    • Billah, K.Y.R.1    Shinozuka, M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.