Abstract
The authors construct two-stage second-order algorithms for integrating stochastic differential equations with variable diffusivity in one and higher dimensions.
Numerical integration of stochastic differential equations with variable diffusivity
I T Drummond1, A Hoch1 and R R Horgan1
Published under licence by IOP Publishing Ltd
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Citation I T Drummond et al 1986 J. Phys. A: Math. Gen. 19 3871
DOI 10.1088/0305-4470/19/18/032
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