A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations

DOI10.1137/0036142996303973zbMath0914.65144OpenAlexW1965019255MaRDI QIDQ4210288

Publication date: 21 September 1998

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0036142996303973

zbMATH Keywords

stability Monte Carlo method Itô stochastic differential equation implicit splitting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Probabilistic methods, stochastic differential equations (65C99)

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