A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
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Publication:1713860
DOI10.1515/mcma-2018-2024zbMath1405.60107OpenAlexW2898914570MaRDI QIDQ1713860
Kenta Yamamoto, Toshihiro Yamada
Publication date: 30 January 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2018-2024
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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