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Chien-Cheng Chang, Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients, Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 ...
A second order correction step that brings the iterates closer to the feasible set is described. If sufficiently precise Hessian information is used, this correction step allows us to prove that the ...
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