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An introduction to the numerical simulation of stochastic differential equations

, and . Other titles in applied mathematics SIAM, Philadelphia, (2021)

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise, , and . Stochastic Processes and their Applications, 101 (2): 185--232 (October 2002)An introduction to the numerical simulation of stochastic differential equations, and . Other titles in applied mathematics SIAM, Philadelphia, (2021)