Weak exponential schemes for stochastic differential equations with additive noise

DOI10.1093/imanum/dri001zbMath1080.65005OpenAlexW2137440218MaRDI QIDQ5316912

Carlos M. Mora

Publication date: 15 September 2005

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

Full work available at URL: http://hdl.handle.net/10533/176891

zbMATH Keywords

weak convergencestochastic differential equationsEuler-Maruyama methodexponential-type Euler methods

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)

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