Funder
Engineering and Physical Sciences Research Council
Agence nationale de la recherche
Publisher
Springer Science and Business Media LLC
Reference36 articles.
1. Krylov, N.V.: On Kolmogorov’s equations for finite-dimensional diffusions. In: Stochastic PDE’s and Kolmogorov Equations in Infinite Dimensions (Cetraro, 1998). Lecture Notes in Mathematics, vol. 1715, pp. 1–63. Springer, Heidelberg (1999). https://doi.org/10.1007/BFb0092417
2. Kloeden, P.E., Platen, E.: Numerical solution of stochastic differential equations. In: Applications of Mathematics (New York), vol. 23, p. 632. Springer, Heidelberg (1992). https://doi.org/10.1007/978-3-662-12616-5
3. Talay, D., Tubaro, L.: Expansion of the global error for numerical schemes solving stochastic differential equations. Stoch. Anal. Appl. 8(4), 483–5091991 (1990). https://doi.org/10.1080/07362999008809220
4. Wang, X., Zhao, Y., Zhang, Z.: Weak error analysis for strong approximation schemes of SDEs with super-linear coefficients. IMA J. Numer. Anal. 083 (2023). https://doi.org/10.1093/imanum/drad083
5. Hudde, A., Hutzenthaler, M., Jentzen, A., Mazzonetto, S.: On the Itô-Alekseev-Gröbner formula for stochastic differential equations (2018). arXiv: 1812.09857. To appear in Ann. Inst. Henri Poincaré Probab. Stat