A second-order discretization for degenerate systems of stochastic differential equations

DOI10.1093/imanum/draa039OpenAlexW3048129528MaRDI QIDQ5077074

Toshihiro Yamada, Yuga Iguchi

Publication date: 17 May 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/draa039

zbMATH Keywords

stochastic differential equationweak approximationhypoelliptic diffusion

Mathematics Subject Classification ID

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

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