Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
From MaRDI portal
Publication:482674
DOI10.1016/j.cam.2014.10.021zbMath1306.65006arXiv1312.5792OpenAlexW2053054589MaRDI QIDQ482674
Publication date: 6 January 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.5792
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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