Listagem FGV EMAp - Escola de Matemática Aplicada por autor "Cruz Cancino, Hugo Alexander de la"

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Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

Cruz Cancino, Hugo Alexander de la; Jimenez, Juan Carlos
2011-09-23

There is a variety of strong Local Linearization (LL) schemes for the numerical integration of stochastic differential equations with additive noise, which differ with respect to the algorithm that is used in the numerical ...