A weak trapezoidal method for a class of stochastic differential equations
DOI10.4310/CMS.2011.v9.n1.a15zbMath1288.60085arXiv0906.3475OpenAlexW2963996180MaRDI QIDQ390252
Jonathan C. Mattingly, David F. Anderson
Publication date: 22 January 2014
Published in: Communications in Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.3475
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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