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...
| Hlavní autoři: | , , , |
|---|---|
| Médium: | Journal article |
| Vydáno: |
2011
|