Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
Author:
Funder
Universidad de Concepción
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis
Reference58 articles.
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3. Local linearization method for the numerical solution of stochastic differential equations;Biscay;Ann. Inst. Stat. Math.,1996
4. On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth;Bossy;Bernoulli,2021
5. Numerical Solution of Initial-Value Problems in Differential-Algebraic Equations;Brenan,1996
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