An efficient and spectral accurate numerical method for computing SDE driven by multivariate Gaussian variables
There are many previous studies on designing efficient and high-order numerical methods for stochastic differential equations (SDEs) driven by Gaussian random variables. They mostly focus on proposing numerical methods for SDEs with independent Gaussian random variables and rarely solving SDEs drive...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIP Publishing LLC
2022-07-01
|
| Series: | AIP Advances |
| Online Access: | http://dx.doi.org/10.1063/5.0096285 |