Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Medicine
Link
https://link.springer.com/content/pdf/10.1007/s40096-021-00440-2.pdf
Reference32 articles.
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3. Chen, C., Cohen, D., D Ambrosio, R., Lang, A.: Drift-preserving numerical integrators for stochastic Hamiltonian systems. Adv. Comput. Math. 46(2), 27 (2020)
4. Citro, V., D Ambrosio, R.: Long-term analysis of stochastic $$\theta $$-methods for damped stochastic oscillators. Appl. Numer. Math. 150, 18–26 (2020)
5. Cohen, D.: On the numerical discretisation of stochastic oscillators. Math. Comput. Simul. 82(8), 1478–1495 (2012)
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