High order weak methods for stochastic differential equations based on modified equations
Inspired by recent advances in the theory of modified differential equations, we propose a new methodology for constructing numerical integrators with high weak order for the time integration of stochastic differential equations. This approach is illustrated with the constructions of new high order...
| Main Authors: | , , , |
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| פורמט: | Journal article |
| יצא לאור: |
2011
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