High order weak methods for stochastic differential equations based on modified equations

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...

Полное описание

Библиографические подробности
Главные авторы:	Abdulle, A, Cohen, D, Vilmart, G, Zygalakis, K
Формат:	Journal article
Опубликовано:	2011

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