We propose a new concept which allows us to apply any numerical method of weak approximation to a very broad class of stochastic differential equations (SDEs) with nonglobally Lipschitz coefficients.
Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 (20 pages) We present Runge-Kutta methods of high accuracy for stochastic differential ...
Accurately modeling particle movement through fluids is crucial in fields ranging from chemical engineering to aerospace. The drag coefficient, which influences how particles settle and move in fluid ...
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