On the Existence and the Applications of Modified Equations for Stochastic Differential Equations

DOI10.1137/090762336zbMath1236.60069OpenAlexW2029497786MaRDI QIDQ3095051

Konstantinos C. Zygalakis

Publication date: 28 October 2011

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:214ceef1-f164-46fc-b7fd-f2dee0e87803

zbMATH Keywords

weak convergencestochastic differential equationsLangevin equationharmonic oscillatormultiplicative noisebackward error analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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