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Computational aspects of the numerical solution of SDEs

Yannios, Nicholas. 2001, Computational aspects of the numerical solution of SDEs, Ph.D. thesis, School of Computing and Mathematics, Deakin University.

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Title Computational aspects of the numerical solution of SDEs
Author Yannios, Nicholas.
Institution Deakin University
School School of Computing and Mathematics
Faculty Faculty of Science and Technology
Degree name Ph.D.
Date submitted 2001
Keyword(s) Stochastic differential equations
Stochastic processes - Computer simulation
Summary Compares the stochastic Taylor Series time discretisation (TS) approach to classical Finite-Element-Method in the solution of stochastic differential equations. Shows that the TS approach is an efficient and accurate technique that provides both transition and steady state solutions to the associated Fokker-Planck-Kolmogorov equation.
Language eng
Description of original xviii, 260 leaves ; 30 cm.
Dewey Decimal Classification 519.232
Persistent URL http://hdl.handle.net/10536/DRO/DU:30023589

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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.