Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
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Publication:6156281
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
Wiener processmean-square convergencesemi-implicit schemeEuler-Maruyama methodsecond-order Itô stochastic differential equations
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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