Convergence analysis of a splitting method for stochastic differential equations

MaRDI QIDQ3618396zbMATH OpenFDO

Authors Weidong Zhao, Li Tian, Lili Ju

Publication date 31 March 2009

Full work available at URL http://www.math.ualberta.ca/ijnam/Volume-5-2008/No-4-08/2008-04-08.pdf

zbMATH Keywords

Brownian motiondrift-implicit splitting schemestochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)

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