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"Many stochastic differential equations (SDEs) in the literature have a super linearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler Maruyama approximation method diverge for these SDEs in finite time.…
Annotation. This title offers accurate, efficient methods for solving stochastic equations, with a focus on formulating equations that apply to problems in engineering and applied sciences. Throughout the book, numerous examples illustrate essential theoretical concepts, models …