Relevant bibliographies by topics / Euler scheme for SDE

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Euler scheme for SDE'

Author: Grafiati
Published: 4 June 2021
Last updated: 8 February 2022

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Journal articles on the topic "Euler scheme for SDE"

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ROBINSON, JAMES C. "STABILITY OF RANDOM ATTRACTORS FOR A BACKWARDS EULER SCHEME." Stochastics and Dynamics 04, no. 02 (2004): 175–84. http://dx.doi.org/10.1142/s0219493704000997.

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This paper applies a theorem from Robinson [12] in order to show that the backwards Euler approximation [Formula: see text] of a simple stochastic ODE [Formula: see text] perturbs the attractor of the SDE in an upper semicontinuous way, i.e. that [Formula: see text]
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Ferreiro-Castilla, A., A. E. Kyprianou, and R. Scheichl. "An Euler–Poisson scheme for Lévy driven stochastic differential equations." Journal of Applied Probability 53, no. 1 (2016): 262–78. http://dx.doi.org/10.1017/jpr.2015.23.

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Abstract We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are random. This result extends the previous work of Ferreiro-Castilla et al. (2014). We provide a complete numerical analysis of the algorithm to approximate the terminal value of the SDE and prove that the mean-square error converges with rate O(n-1/2). The only requirement of the methodology is to have exact samples from the resolvent of the Lévy process driving the SDE. Classical examples, su
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Kubilius, Kęstutis. "Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift." Nonlinear Analysis: Modelling and Control 25, no. 6 (2020): 1059–78. http://dx.doi.org/10.15388/namc.2020.25.20565.

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Strongly consistent and asymptotically normal estimates of the Hurst index H are obtained for stochastic differential equations (SDEs) that have a unique positive solution. A strongly convergent approximation of the considered SDE solution is constructed using the backward Euler scheme. Moreover, it is proved that the Hurst estimator preserves its properties, if we replace the solution with its approximation.
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Banchuin, Rawid, and Roungsan Chaisricharoen. "Vector SDE Based Stochastic Analysis of Transformer." ECTI Transactions on Computer and Information Technology (ECTI-CIT) 15, no. 1 (2021): 82–107. http://dx.doi.org/10.37936/ecti-cit.2021151.188931.

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In this research, the stochastic behaviours oftransformer have been analysed by using the stochasticdifferential equation approach where both noise in thevoltage source applied to the transformer and the randomvariations in elements and parameters of transformers havebeen considered. The resulting vector stochasticdifferential equations of the transformer have been bothanalytically and numerically solved in the Ito sense wherethe Euler-Maruyama scheme has been adopted fordetermining the numerical solutions which have been theirsample means have been used for verification. With theobtained anal
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Zähle, Henryk. "Weak Approximation of SDEs by Discrete-Time Processes." Journal of Applied Mathematics and Stochastic Analysis 2008 (March 23, 2008): 1–15. http://dx.doi.org/10.1155/2008/275747.

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We consider the martingale problem related to the solution of an SDE on the line. It is shown that the solution of this martingale problem can be approximated by solutions of the corresponding time-discrete martingale problems under some conditions. This criterion is especially expedient for establishing the convergence of population processes to SDEs. We also show that the criterion yields a weak Euler scheme approximation of SDEs under fairly weak assumptions on the driving force of the approximating processes.
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Avikainen, Rainer. "On irregular functionals of SDEs and the Euler scheme." Finance and Stochastics 13, no. 3 (2009): 381–401. http://dx.doi.org/10.1007/s00780-009-0099-7.

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Hutzenthaler, Martin, Arnulf Jentzen, and Peter E. Kloeden. "Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients." Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 467, no. 2130 (2010): 1563–76. http://dx.doi.org/10.1098/rspa.2010.0348.

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The stochastic Euler scheme is known to converge to the exact solution of a stochastic differential equation (SDE) with globally Lipschitz continuous drift and diffusion coefficients. Recent results extend this convergence to coefficients that grow, at most, linearly. For superlinearly growing coefficients, finite-time convergence in the strong mean-square sense remains. In this article, we answer this question to the negative and prove, for a large class of SDEs with non-globally Lipschitz continuous coefficients, that Euler’s approximation converges neither in the strong mean-square sense no
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Lamba, H., J. C. Mattingly, and A. M. Stuart. "An adaptive Euler-Maruyama scheme for SDEs: convergence and stability." IMA Journal of Numerical Analysis 27, no. 3 (2006): 479–506. http://dx.doi.org/10.1093/imanum/drl032.

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Berkaoui, Abdel, Mireille Bossy, and Awa Diop. "Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence." ESAIM: Probability and Statistics 12 (November 13, 2007): 1–11. http://dx.doi.org/10.1051/ps:2007030.

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Zhao, Weidong, Tao Zhou, and Tao Kong. "High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control." Communications in Computational Physics 21, no. 3 (2017): 808–34. http://dx.doi.org/10.4208/cicp.oa-2016-0056.

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AbstractThis is one of our series papers on multistep schemes for solving forward backward stochastic differential equations (FBSDEs) and related problems. Here we extend (with non-trivial updates) our multistep schemes in [W. Zhao, Y. Fu and T. Zhou, SIAM J. Sci. Comput., 36 (2014), pp. A1731-A1751] to solve the second-order FBSDEs (2FBSDEs). The key feature of the multistep schemes is that the Euler method is used to discretize the forward SDE, which dramatically reduces the entire computational complexity. Moreover, it is shown that the usual quantities of interest (e.g., the solution tuple
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Dissertations / Theses on the topic "Euler scheme for SDE"

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Kumar, Chaman. "Explicit numerical schemes of SDEs driven by Lévy noise with super-linear coeffcients and their application to delay equations." Thesis, University of Edinburgh, 2015. http://hdl.handle.net/1842/15946.

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We investigate an explicit tamed Euler scheme of stochastic differential equation with random coefficients driven by Lévy noise, which has super-linear drift coefficient. The strong convergence property of the tamed Euler scheme is proved when drift coefficient satisfies one-sided local Lipschitz condition whereas diffusion and jump coefficients satisfy local Lipschitz conditions. A rate of convergence for the tamed Euler scheme is recovered when local Lipschitz conditions are replaced by global Lipschitz conditions and drift satisfies polynomial Lipschitz condition. These findings are consist
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Frink, Neal T. "Three-dimensional upward scheme for solving the Euler equations on unstructured tetrahedral grids." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39423.

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A new upwind scheme is developed for solving the three-dimensional Euler equations on unstructured tetrahedral meshes. The method yields solution accuracy and efficiency comparable to that currently available from similar structured-grid codes. The key to achieving this result is a novel cell reconstruction process which is based on an analytical formulation for computing solution gradients within tetrahedral cells. Prior methodology requires the application of cumbersome numerical procedures to evaluate surface integrals around the cell volume. The result is that higher-order differences can
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Whitaker, David Lee. "Two-dimensional Euler computations on a triangular mesh using an upwind, finite-volume scheme." Diss., Virginia Polytechnic Institute and State University, 1988. http://hdl.handle.net/10919/80278.

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A new numerical procedure has been developed for the finite-volume solution of the Euler equations on unstructured, triangular meshes using a flux-difference split, upwind method. The procedure uses a dual mesh system to implement the finite-volume scheme using conserved variables stored at the vertices of the triangles. The vertices of the triangles are located approximately in the center of the dual mesh cells and conservation is enforced about each dual mesh finite-volume. Techniques are developed for implementing Roe's approximate Riemann solver on unstructured grids. Higher order accuracy
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C, Praveen. "Development and Application of Kinetic Meshless Methods for Euler Equations." Thesis, Indian Institute of Science, 2004. http://hdl.handle.net/2005/154.

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Meshless methods are a relatively new class of schemes for the numerical solution of partial differential equations. Their special characteristic is that they do not require a mesh but only need a distribution of points in the computational domain. The approximation at any point of spatial derivatives appearing in the partial differential equations is performed using a local cloud of points called the "connectivity" (or stencil). A point distribution can be more easily generated than a grid since we have less constraints to satisfy. The present work uses two meshless methods; an existing sc
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Oumouni, Mestapha. "Analyse numérique de méthodes performantes pour les EDP stochastiques modélisant l'écoulement et le transport en milieux poreux." Phd thesis, Université Rennes 1, 2013. http://tel.archives-ouvertes.fr/tel-00904512.

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Ce travail présente un développement et une analyse des approches numériques déterministes et probabilistes efficaces pour les équations aux dérivées partielles avec des coefficients et données aléatoires. On s'intéresse au problème d'écoulement stationnaire avec des données aléatoires. Une méthode de projection dans le cas unidimensionnel est présentée, permettant de calculer efficacement la moyenne de la solution. Nous utilisons la méthode de collocation anisotrope des grilles clairsemées. D'abord, un indicateur de l'erreur satisfaisant une borne supérieure de l'erreur est introduit, il perm
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Lauzon, Marc. "Study of compressible internal flows using an explicit time-integration scheme for the solution of the Euler equations." Thesis, McGill University, 1989. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=61944.

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Olivero, Quinteros Héctor Cristian. "Strong convergence of a milstein scheme for a CEV-like SDE and some contributions to the analysis of the stochastic Morris-Lecar neuron model." Tesis, Universidad de Chile, 2016. http://repositorio.uchile.cl/handle/2250/143568.

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Doctor en Ciencias de la Ingeniería, Mención Modelación Matemática<br>Desde muy temprano en el desarrollo de la teoría de procesos estocásticos ha existido un creciente interés por aplicar sus herramientas en diferentes contextos; ya en el año 1900 Bachelier creó un modelo de movimiento Browniano para describir el mercado de acciones en París [7], y desde entonces el rango de aplicaciones del modelamiento estocástico ha seguido creciendo y hoy en día incluye desde economía hasta biología. Esta tesis tiene dos partes, cada una de ellas dedicada al estudio de un modelo estocástico di
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Jeong, Minsoo. "Asymptotics for the maximum likelihood estimators of diffusion models." [College Station, Tex. : Texas A&M University, 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2335.

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Chhang, Sophy. "Energy-momentum conserving time-stepping algorithms for nonlinear dynamics of planar and spatial euler-bernoulli/timoshenko beams." Thesis, Rennes, INSA, 2018. http://www.theses.fr/2018ISAR0027/document.

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Dans la première partie de la thèse, les schémas d’intégration conservatifs sont appliqués aux poutres co-rotationnelles 2D. Les cinématiques d'Euler-Bernoulli et de Timoshenko sont abordées. Ces formulations produisent des expressions de l'énergie interne et l'énergie cinétique complexe et fortement non-linéaires. L’idée centrale de l’algorithme consiste à définir, par intégration, le champ des déformations en fin de pas à partir du champ de vitesses de déformations et non à partir du champ des déplacements au travers de la relation déplacement-déformation. La même technique est appliquée aux
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Krinshnamurthy, R. "Kinetic Flux Vector Splitting Method On Moving Grids (KFMG) For Unsteady Aerodynamics And Aeroelasticity." Thesis, Indian Institute of Science, 2001. http://hdl.handle.net/2005/288.

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Analysis of unsteady flows is a very challenging topic of research. A decade ago, potential flow equations were used to predict unsteady pressures on oscillating bodies. Recognising the fact that nonlinear aerodynamics is essential to analyse unsteady flows accurately, particularly in transonic and supersonic flows, different Euler formulations operating on moving grids have emerged recently as important CFD tools for unsteady aerodynamics. Numerical solution of Euler equations on moving grids based on upwind schemes such as the ones due to van Leer and Roe have been developed for the purpose
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Books on the topic "Euler scheme for SDE"

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Srivastava, R. An unsteady Euler scheme for the analysis of ducted propellers. American Institute of Aeronautics and Astronautics, 1992.

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2

Powell, Kenneth G. A genuinely multi-dimensional upwind cell-vertex scheme for the Euler equations. Institute for Computational Mechanics in Propulsion, 1989.

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Yoon, Seokkwan. An LU-SSOR scheme for the Euler and Navier-Stokes equations. American Institute of Aeronautics and Astronautics, 1987.

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Sidilkover, David. A genuinely multidimensional upwind scheme and efficient multigrid solver for the compressible Euler equations. Institute for Computer Applications in Science and Engineering, 1994.

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Coirier, William J. An adaptively-refined, Cartesian cell-based scheme for the Euler and Navier-Stokes equations. National Aeronautics and Space Administration, 1994.

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Moitra, Anutosh. Application of a Runge-Kutta scheme for high-speed inviscid internal flows. ICASE, 1986.

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United States. National Aeronautics and Space Administration, ed. An LU-SSOR scheme for the Euler and Navier-Stokes equations. National Aeronautics and Space Administration, 1986.

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United States. National Aeronautics and Space Administration, ed. An LU-SSOR scheme for the Euler and Navier-Stokes equations. National Aeronautics and Space Administration, 1986.

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United States. National Aeronautics and Space Administration., ed. An LU-SSOR scheme for the Euler and Navier-Stokes equations. National Aeronautics and Space Administration, 1986.

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An LU-SSOR scheme for the Euler and Navier-Stokes equations. National Aeronautics and Space Administration, 1986.

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Book chapters on the topic "Euler scheme for SDE"

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Słomiński, Leszek, and Tomasz Wojciechowski. "Euler Scheme for One-Dimensional SDEs with Time Dependent Reflecting Barriers." In Computational Science - ICCS 2004. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-25944-2_105.

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Fey, M., and R. Jeltsch. "A New Multidimensional Euler-Scheme." In Nonlinear Hyperbolic Problems: Theoretical, Applied, and Computational Aspects. Vieweg+Teubner Verlag, 1993. http://dx.doi.org/10.1007/978-3-322-87871-7_27.

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Couaillier, V., and J. P. Veuillot. "Multigrid Scheme for the Euler Equations." In Notes on Numerical Fluid Mechanics and Multidisciplinary Design. Vieweg+Teubner Verlag, 1989. http://dx.doi.org/10.1007/978-3-322-87875-5_7.

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Agarwal, A., A. Agrawal, B. Puranik, and C. Shu. "Novel LBM Scheme for Euler Equations." In Shock Waves. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-540-85181-3_38.

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Goudon, Thierry, Julie Llobell, and Sebastian Minjeaud. "A Staggered Scheme for the Euler Equations." In Springer Proceedings in Mathematics & Statistics. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-57394-6_10.

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Chattot, Jean-Jacques, and Sylvie Malet. "A “box-scheme” for the euler equations." In Lecture Notes in Mathematics. Springer Berlin Heidelberg, 1987. http://dx.doi.org/10.1007/bfb0078319.

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Morgan, K., J. Peraire, J. Peiro, and O. C. Zienkiewicz. "A Finite Element Scheme for the Euler Equations." In Notes on Numerical Fluid Mechanics and Multidisciplinary Design. Vieweg+Teubner Verlag, 1989. http://dx.doi.org/10.1007/978-3-322-87875-5_15.

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Liang, S. M., and J. J. Chan. "An Improved Upwind Scheme for the Euler Equations." In Recent Advances in Computational Fluid Dynamics. Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-642-83733-3_3.

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Bao, Jianhai, George Yin, and Chenggui Yuan. "Convergence Rate of Euler–Maruyama Scheme for FSDEs." In SpringerBriefs in Mathematics. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-46979-9_3.

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Hu, Yaozhong. "Semi-Implicit Euler-Maruyama Scheme for Stiff Stochastic Equations." In Stochastic Analysis and Related Topics V. Birkhäuser Boston, 1996. http://dx.doi.org/10.1007/978-1-4612-2450-1_9.

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Conference papers on the topic "Euler scheme for SDE"

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Chang, S., and X. Wang. "Courant Number Insensitive CE/SE Euler Scheme." In 38th AIAA/ASME/SAE/ASEE Joint Propulsion Conference & Exhibit. American Institute of Aeronautics and Astronautics, 2002. http://dx.doi.org/10.2514/6.2002-3890.

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Chen, Yaping, Ruibing Cao, Jiafeng Wu, Cong Dong, and Yanjun Sheng. "Experimental Study on Shell Side Heat Transfer Performance of Circumferential Overlap Trisection Helical Baffle Heat Exchangers." In ASME 2011 International Mechanical Engineering Congress and Exposition. ASMEDC, 2011. http://dx.doi.org/10.1115/imece2011-63254.

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A set of experiments were conducted on the circumferential overlap trisection helical baffle heat exchangers with inclined angles of 20°, 24°, 28° and 32° single-thread and inclined angle of 32° dual-thread one, and a segmental baffle heat exchanger as a contrast scheme. The cylinder case of the testing heat exchanger is a common shell, while the tube bundle core could be replaced. The shell side heat transfer coefficient ho is obtained by subtract tube-side convection thermal resistance and tube wall conduction resistance from the overall heat transfer coefficient K. The curves of shell side
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Einarsson, Guomundur, Thomas Runarsson, and Gunnar Stefansson. "A competitive coevolution scheme inspired by DE." In 2014 IEEE Symposium on Differential Evolution (SDE). IEEE, 2014. http://dx.doi.org/10.1109/sde.2014.7031529.

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Elsayed, Saber M., and Ruhul A. Sarker. "Differential Evolution with automatic population injection scheme for constrained problems." In 2013 IEEE Symposium on Differential Evolution (SDE). IEEE, 2013. http://dx.doi.org/10.1109/sde.2013.6601450.

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Al-dabbagh, Rawaa Dawoud, Janos Botzheim, and Mohanad Dawood Al-dabbagh. "Comparative analysis of a modified differential evolution algorithm based on bacterial mutation scheme." In 2014 IEEE Symposium on Differential Evolution (SDE). IEEE, 2014. http://dx.doi.org/10.1109/sde.2014.7031532.

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Gupta, Abhishek, Volkan Patoglu, and Marcia K. O'Malley. "Vision Based Force Sensing for Nanorobotic Manipulation." In ASME 2006 International Mechanical Engineering Congress and Exposition. ASMEDC, 2006. http://dx.doi.org/10.1115/imece2006-15111.

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Over the last decade, considerable interest has been generated in building and manipulating nanoscale structures. Applications of nanomanipulation include study of nanoparticles, molecules, DNA and viruses, and bottom-up nanoassembly. We propose a Nanomanipulation System using the Zyvex S100 nanomanipulator, which operates within a scanning electron microscope (SEM), as its primary component. The primary advantage of the S100 setup over standard scanning probe microscopy based nanomanipulators is the ability to see the object during manipulation. Relying on visual feedback alone to control the
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DADONE, ANDREA, and BERNARD GROSSMAN. "A rotated upwind scheme for the Euler equations." In 29th Aerospace Sciences Meeting. American Institute of Aeronautics and Astronautics, 1991. http://dx.doi.org/10.2514/6.1991-635.

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REDDY, K., and J. JACOCKS. "A locally implicit scheme for the Euler equations." In 8th Computational Fluid Dynamics Conference. American Institute of Aeronautics and Astronautics, 1987. http://dx.doi.org/10.2514/6.1987-1144.

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Xu, Kun, Luigi Martinelli, and Antony Jameson. "Euler multigrid calculations using a gas-kinetic scheme." In 33rd Aerospace Sciences Meeting and Exhibit. American Institute of Aeronautics and Astronautics, 1995. http://dx.doi.org/10.2514/6.1995-206.

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Wang, Yushun, Bin Wang, Theodore E. Simos, George Psihoyios, and Ch Tsitouras. "Applications of the Multi-Symplectic Euler-box Scheme." In NUMERICAL ANALYSIS AND APPLIED MATHEMATICS: International Conference on Numerical Analysis and Applied Mathematics 2009: Volume 1 and Volume 2. AIP, 2009. http://dx.doi.org/10.1063/1.3241629.

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Reports on the topic "Euler scheme for SDE"

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Xiong, Tao, Chi-Wang Shu, and Mengping Zhang. WENO Scheme with Subcell Resolution for Computing Nonconservative Euler Equations with Applications to One-dimensional Compressible Two-medium Flows. Defense Technical Information Center, 2011. http://dx.doi.org/10.21236/ada557668.

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