On the numerical solution of Brownian motion processes
- 1 June 1973
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 10 (2), 409-418
- https://doi.org/10.2307/3212357
Abstract
A new class of finite difference methods based on the concept of product integration is proposed for the numerical solution of the systems of weakly singular first kind Volterra equations which arise in the study of Brownian motion processes.Keywords
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