Free Access
Volume 20, Number 1, 1986
Page(s) 141 - 179
Published online 31 January 2017
  1. H. KUNITA, Stochastic Differential Equations and Stochastic Flows of Diffeomorphisms. Cours de l'École d'Été de Probabilités de Saint-Flour, 1982, in « Lecture Notes in Mathematics », vol. 1097, Springer-Verlag. [MR: 876080] [Zbl: 0554.60066]
  2. G.N. MILSHTEIN, A Method of Second Order Accuracy Integration of S.D.E. Theory Proba. Appl. 23, pp. 396-401 (1976). [Zbl: 0422.60048]
  3. E. PARDOUX et D. TALAY, Approximation and Simulation of Solutions of S.D.E. Acta Applicandae Mathematicae 3, 23-47 (1985). [MR: 773336] [Zbl: 0554.60062]
  4. R. Y. RUBINSTEIN, Simulation and the Monte Carlo Method. J. Wiley (1981). [MR: 624270] [Zbl: 0529.68076]
  5. D. TALAY, Analyse Numérique des Équations Différentielles Stochastiques. Thèse de 3e cycle, Université de Provence (1982).
  6. D. TALAY, Efficient Numerical Schemes for the Approximation of Expectations of Functionals of the Solution of a S.D.E. and Applications. Filtering and Control of Random Processes, « Lecture Notes in Control and Inf. Sciences », vol. 61, pp. 294-313, Springer-Verlag, 1984. [MR: 874837] [Zbl: 0542.93077]

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