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Adaptive time-stepping for the strong numerical solution of stochastic differential equations.
Silvana Ilie
Kenneth R. Jackson
Wayne H. Enright
Published in:
Numer. Algorithms (2015)
Keyphrases
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numerical solution
differential equations
stochastic differential equations
partial differential equations
brownian motion
finite element
numerical methods
multiscale
pairwise
cost function
level set
image enhancement
exact solution