Deterministic Quadrature Formulas for SDEs Based on Simplified Weak Itô-Taylor Steps

Thomas Müller-Gronbach, Larisa Yaroslavtseva. Deterministic Quadrature Formulas for SDEs Based on Simplified Weak Itô-Taylor Steps. Foundations of Computational Mathematics, 16(5):1325-1366, 2016. [doi]

Abstract

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