𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Computational solution of stochastic differential equations

✍ Scribed by Sauer, Timothy


Book ID
120968862
Publisher
Wiley (John Wiley & Sons)
Year
2013
Tongue
English
Weight
213 KB
Volume
5
Category
Article
ISSN
0163-1829

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Computing the noise covariance matrix of
✍ J.C Jimenez; P.A Valdes; L.M Rodriguez; J.J Riera; R Biscay πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 224 KB

## Communicated by B. J. Matkowsky Abstract--An algorithm is given that computes the covariance matrix of the noise term of the local linearization scheme for the numerical integration of stochastic differential equations. The order of convergence of the resulting approximation is studied. An exam