A weak trapezoidal method for a class of stochastic differential equations

DOI10.4310/CMS.2011.v9.n1.a15zbMath1288.60085arXiv0906.3475OpenAlexW2963996180MaRDI QIDQ390252

Jonathan C. Mattingly, David F. Anderson

Publication date: 22 January 2014

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.3475

zbMATH Keywords

stochastic differential equationnumerical methoderror analysisweak trapezoidal method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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