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Single step methods for linear differential equations

✍ Scribed by G. J. Cooper; E. Gal


Publisher
Springer-Verlag
Year
1967
Tongue
English
Weight
519 KB
Volume
10
Category
Article
ISSN
0029-599X

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In this paper we discuss split-step forward methods for solving ItΓ΄ stochastic differential equations (SDEs). Eight fully explicit methods, the drifting split-step Euler (DRSSE) method, the diffused split-step Euler (DISSE) method and the three-stage Milstein (TSM 1a -TSM 1f) methods, are constructe