Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information

Pawel M. Morkisz, Pawel Przybylowicz. Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information. J. Computational Applied Mathematics, 383:113112, 2021. [doi]

Authors

Pawel M. Morkisz

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Pawel Przybylowicz

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