The improved split-step <i>θ</i> methods for stochastic differential equation (Q2931022)
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scientific article; zbMATH DE number 6371881
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| English | The improved split-step <i>θ</i> methods for stochastic differential equation |
scientific article; zbMATH DE number 6371881 |
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The improved split-step <i>θ</i> methods for stochastic differential equation (English)
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21 November 2014
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stochastic differential equation
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numerical method
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mean-square stability
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Hamiltonian-preserving
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positivity-preserving
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Cox-Ingersoll-Ross model
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0.9531797
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0.9476721
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0.9461145
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0.94127834
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0.93625414
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0.9351932
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0.9332546
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0.9286191
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