Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations (Q654123): Difference between revisions

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Property / DOI: 10.1016/j.cam.2011.06.012 / rank
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Latest revision as of 23:56, 9 December 2024

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Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
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    Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations (English)
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    21 December 2011
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    stochastic Taylor formula
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    weak approximations
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    stiff stochastic differential equations
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    weak numerical schemes
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    semi-implicit schemes
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    mean-square stability
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    numerical experiments
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