The Direct Richardson pth Order (DRp) Schemes: A New Class of Time Integration Schemes for Stochastic Differential Equations

DOI10.1137/100801445zbMATH Open1252.60066OpenAlexW2049893421MaRDI QIDQ2882782

Pavel P. Popov, Stephen B. Pope

Publication date: 7 May 2012

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100801445

zbMATH Keywords

stochastic differential equationsweak approximationEuler methodRichardson extrapolationrejection sampling

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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