Weak convergence of tamed exponential integrators for stochastic differential equations

DOI10.1007/S10543-024-01029-6zbMATH Open1545.65036MaRDI QIDQ6587344FDOQ6587344

Authors: Utku Erdoğan, Gabriel J. Lord 

Publication date: 14 August 2024

Published in: BIT (Search for Journal in Brave)

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zbMATH Keywords

weak convergencegeometric Brownian motionexponential integratormulti-level Monte Carlo methodSDEstamed Euler-Maruyama methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (1)

• Convergence of a exponential tamed method for a general interest rate model

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