Search for dissertations about: "Milstein method"
Found 1 swedish dissertation containing the words Milstein method.
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1. Contributions to Numerical Solution of Stochastic Differential Equations
Abstract : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. READ MORE
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