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...
| Main Authors: | , |
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| Format: | Internet publication |
| Language: | English |
| Published: |
2020
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