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...

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Autors principals: Riedel, S, Wu, Yue
Format: Internet publication
Idioma:English
Publicat: 2020