Higher-order adaptive methods for exit times of Itô diffusions
Author:
Affiliation:
1. Department of Mathematics, University of Oslo , 0561, Oslo, Norway
2. Chair of Mathematics for Uncertainty Quantification , RWTH Aachen University, 52062, North Rhine-Westphalia, Germany
Abstract
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
Link
https://academic.oup.com/imajna/advance-article-pdf/doi/10.1093/imanum/drad077/52222145/drad077.pdf
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5. An implementation of Milstein’s method for general bounded diffusions;Bernal;J. Sci. Comput.,2019
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