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Simulation of Non-Lipschitz Stochastic Differential Equations Driven by α-Stable Noise: A Method Based on Deterministic Homogenization

Georg A. Gottwald, Ian Melbourne. Simulation of Non-Lipschitz Stochastic Differential Equations Driven by α-Stable Noise: A Method Based on Deterministic Homogenization. Multiscale Modeling & Simulation, 19(2):665-687, 2021. [doi]

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