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Numerical Solution of Stochastic Differential Equations

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Cover of 'Numerical Solution of Stochastic Differential Equations'

Table of Contents

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    Book Overview
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    Chapter 1 Probability and Statistics
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    Chapter 2 Probability Theory and Stochastic Processes
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    Chapter 3 Ito Stochastic Calculus
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    Chapter 4 Stochastic Differential Equations
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    Chapter 5 Stochastic Taylor Expansions
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    Chapter 6 Modelling with Stochastic Differential Equations
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    Chapter 7 Applications of Stochastic Differential Equations
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    Chapter 8 Time Discrete Approximation of Deterministic Differential Equations
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    Chapter 9 Introduction to Stochastic Time Discrete Approximation
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    Chapter 10 Strong Taylor Approximations
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    Chapter 11 Explicit Strong Approximations
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    Chapter 12 Implicit Strong Approximations
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    Chapter 13 Selected Applications of Strong Approximations
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    Chapter 14 Weak Taylor Approximations
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    Chapter 15 Explicit and Implicit Weak Approximations
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    Chapter 16 Variance Reduction Methods
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    Chapter 17 Selected Applications of Weak Approximations
Attention for Chapter 12: Implicit Strong Approximations
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