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摘要
The objective of this paper is to propose a novel solution method for Ito stochastic differential equations (SDEs). It is discussed that how the SDEs could numerically be solved as matrix problems. To improve the accuracy of this technique in contrast to the existing solvers, some non-uniform grids of points for discretizations along the time direction are applied. Finally, the high accuracy of approximated solutions in this way are illustrated by several experiments.
- 出版日期2016-12
