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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]
Possibly Related PublicationsThe following publications are possibly variants of this publication: On the complexity of computing quadrature formulas for marginal distributions of SDEsThomas Müller-Gronbach, Klaus Ritter, Larisa Yaroslavtseva. jc, 31(1):110-145, 2015. [doi]
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