On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method

DOI10.1515/cmam-2015-0028zbMath1329.65015arXiv1309.3189OpenAlexW2963245941MaRDI QIDQ901418

Nikolaos Halidias, Ioannis S. Stamatiou

Publication date: 12 January 2016

Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.3189

zbMATH Keywords

semi-discrete methodorder of convergenceHölder continuous3/2-modelsuper-linear drift and diffusion

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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