Semi-implicit Taylor schemes for stiff rough differential equations
We study a class of semi-implicit Taylor-type numerical methods that are easy to implement and designed to solve multidimensional stochastic differential equations driven by a general rough noise, e.g. a fractional Brownian motion. In the multiplicative noise case, the equation is understood as a ro...
| मुख्य लेखकों: | , |
|---|---|
| स्वरूप: | Internet publication |
| भाषा: | English |
| प्रकाशित: |
2020
|