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Qualitative properties of numerical methods for the inhomogeneous geometric Brownian motion.
Irene Tubikanec
Massimiliano Tamborrino
Petr Lánský
Evelyn Buckwar
Published in:
CoRR (2020)
Keyphrases
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numerical methods
brownian motion
differential equations
stochastic process
partial differential equations
dynamical systems
markov chain
optimal control
diffusion process
stochastic processes
learning algorithm
multiresolution
high order
closed form solutions
poisson process