Efficient numerical integrators for stoc
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G. De Fabritiis; M. Serrano; P. EspaΓ±ol; P.V. Coveney
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Article
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2006
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Elsevier Science
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English
β 208 KB
The efficient simulation of models defined in terms of stochastic differential equations (SDEs) depends critically on an efficient integration scheme. In this article, we investigate under which conditions the integration schemes for general SDEs can be derived using the Trotter expansion. It follow