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Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients.
Peng Jiang
Xiaofeng Ju
Dan Liu
Shaoqun Fan
Published in:
J. Appl. Math. (2013)
Keyphrases
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finite difference
stochastic systems
numerical scheme
semi implicit
finite element
numerical solution
numerical analysis
partial differential equations
stochastic models
level set
confidence intervals
exact solution
linear combination
sample path
probabilistic model
linear systems
objective function
diffusion equation