An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients (Q6073172)
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scientific article; zbMATH DE number 7750643
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients |
scientific article; zbMATH DE number 7750643 |
Statements
An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients (English)
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17 October 2023
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stochastic differential equation
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Kolmogorov equation
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structure preserving numerical method
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exponential Euler-Maruyama method
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convergence rate
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