A step size control algorithm for the weak approximation of stochastic differential equations

Dominique Küpper, Jürgen Lehn, Andreas Rößler. A step size control algorithm for the weak approximation of stochastic differential equations. Numerical Algorithms, 44(4):335-346, 2007. [doi]

Authors

Dominique Küpper

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Jürgen Lehn

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Andreas Rößler

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