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...

সম্পূর্ণ বিবরণ

গ্রন্থ-পঞ্জীর বিবরন
প্রধান লেখক: Riedel, S, Wu, Yue
বিন্যাস: Internet publication
ভাষা:English
প্রকাশিত: 2020