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PDF Numerical solution of stochastic differential equations

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QUT Home Contact. Home Browse About. Abstract Stochastic differential equations SDEs arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise.

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Impact and interest: 26 citations in Scopus. Notify us of incorrect data How to use citation counts More information.

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Summer School | Numerical Methods for Stochastic Differential Equations

Wu, X. Mao, L. Szpruch, Almost sure exponential stability of numerical solutions for stochastic delay differential equations, Numer. Mao, S. Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition, J.

Numerical Integration of Stochastic Differential Equations

Mao, Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions, Appl. Milosevic, Highly nonlinear neutral stochastic differential equations with time-dependent delay and Euler-Maruyama method, Math.

Zhou, Z. Fang, Numerical approximation of nonlinear neutral stochastic functional differential equations, J. Yuan, X.

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Mao, Convergence of the Euler-Maruyama method for stochastic differential equations with Markovian switching. Yuan, W. Glover, Approximate solutions of stochastic differential delay equations with Markovian switching, J. Li, Y.

muhajovuxoqu.tk Wang, H. Xue, Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching, Appl. Zhou, F. Wu, Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching.