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...
Autors principals: | , |
---|---|
Format: | Internet publication |
Idioma: | English |
Publicat: |
2020
|