First order strong approximations of scalar SDEs defined in a domain
From MaRDI portal
Publication:740810
DOI10.1007/s00211-014-0606-4zbMath1306.60075arXiv1209.0390OpenAlexW2011337807MaRDI QIDQ740810
Andreas Neuenkirch, Lukasz Szpruch
Publication date: 9 September 2014
Published in: Numerische Mathematik (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.0390
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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