The solution of some stochastic problems by discretization
DOI:
https://doi.org/10.3989/ic.1990.v41.i406.1461Abstract
The aim of this work, is to show a new aproximate resolution technique for stochastic problems and among them, those related to stochastic differential equations. The application of the proposed method to several cases has allowed to emphasize its possibilities in relation to other classical methods such as Taylor and Monte Carlo methods.
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