A new class of exponential integrators for SDEs with multiplicative noise
Author:
Affiliation:
1. Nesin Mathematics Village, Şirince-Selçuk-Izmir, Turkey
2. Department of Mathematics and Maxwell Institute for Mathematical Sciences, Heriot Watt University, Edinburgh, UK
Funder
International Post-Doctoral Research Fellowship Programme
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
Link
http://academic.oup.com/imajna/article-pdf/39/2/820/28378113/dry008.pdf
Reference26 articles.
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3. Towards a systematic linear stability analysis of numerical methods for systems of stochastic differential equations;Buckwar;SIAM J. Numer. Anal.,2010
4. Weak local linear discretizations for stochastic differential equations with jumps;Carbonell;J. Appl. Probab.,2008
5. Stochastic bifurcation in FitzHugh-Nagumo ensembles subjected to additive and/or multiplicative noises;Hasegawa;Phys. D: Nonlin. Phenomena,2008
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