High Order Splitting Methods for SDEs Satisfying a Commutativity Condition

DOI10.1137/23M155147XarXiv2210.17543MaRDI QIDQ6190295

Unnamed Author, Gonçalo dos Reis, Unnamed Author

Publication date: 5 March 2024

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.17543

zbMATH Keywords

operator splittingnumerical methods for SDEshigh order strong convergence

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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