Heun method for numerically solving stochastic differential equations with discontinuous coefficients

MaRDI QIDQ2885953zbMATH OpenFDO

Authors Xumei Chen, Pinchao Meng

Publication date 1 June 2012

Published in Journal of Jilin University. Science Edition (Search for Journal in Brave)

zbMATH Keywords

discontinuous coefficientHeun methodstochastic differential equationweak convergence

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(1)

• Numerical solution of Heun equation via linear stochastic differential equation

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