High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
Contributeurs/tricesAbdulle, Assyr; Cohen, David; Vilmart, Gilles ; Zygalakis, Konstantinos C.
Publié dansSIAM journal on scientific computing, vol. 34, no. 3, p. A1800-A1823
Date de publication2012
Résumé
Mots-clés
- Weak convergence
- Modified equations
- Backward error analysis
- Stiff integrator
- Invariant preserving integrator
Structure d'affiliation Pas une publication de l'UNIGE
Citation (format ISO)
ABDULLE, Assyr et al. High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations. In: SIAM journal on scientific computing, 2012, vol. 34, n° 3, p. A1800–A1823. doi: 10.1137/110846609
Fichiers principaux (1)
Article (Accepted version)
Identifiants
- PID : unige:41947
- DOI : 10.1137/110846609
ISSN du journal1064-8275