A new class of exponential integrators for SDEs with multiplicative noise

DOI10.1093/imanum/dry008zbMath1461.65006arXiv1608.07096OpenAlexW2789113151WikidataQ115539007 ScholiaQ115539007MaRDI QIDQ5854338

Gabriel J. Lord, Utku Erdogan

Publication date: 16 March 2021

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

Full work available at URL: https://arxiv.org/abs/1608.07096

zbMATH Keywords

stochastic differential equationshomotopygeometric Brownian motionEuler-Maruyama schemeexponential integratorexponential Milstein

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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