Expansion of the global error for numerical schemes solving stochastic differential equations
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Publication:5750050
DOI10.1080/07362999008809220zbMath0718.60058OpenAlexW2092264912MaRDI QIDQ5750050
Publication date: 1990
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00075490/file/RR-1069.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)
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Cites Work
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- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
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