Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes

DOI10.1007/s40096-021-00440-2zbMath1512.34158OpenAlexW3203792442WikidataQ115374150 ScholiaQ115374150MaRDI QIDQ6156281

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Publication date: 13 June 2023

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

Full work available at URL: https://doi.org/10.1007/s40096-021-00440-2

zbMATH Keywords

Wiener processmean-square convergencesemi-implicit schemeEuler-Maruyama methodsecond-order Itô stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Rate of convergence, degree of approximation (41A25)

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