Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations
ContributorsAbdulle, Assyr; Vilmart, Gilles ; Zygalakis, Konstantinos C.
Published inBIT, vol. 53, no. 4, p. 827-840
Publication date2013
Abstract
Keywords
- Stiff SDEs
- Drift-implicit stochastic methods
- Mean-square stability
Affiliation entities Not a UNIGE publication
Citation (ISO format)
ABDULLE, Assyr, VILMART, Gilles, ZYGALAKIS, Konstantinos C. Mean-square A-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations. In: BIT, 2013, vol. 53, n° 4, p. 827–840. doi: 10.1007/s10543-013-0430-8
Main files (1)
Article (Accepted version)
Identifiers
- PID : unige:41955
- DOI : 10.1007/s10543-013-0430-8
Commercial URLhttp://link.springer.com/10.1007/s10543-013-0430-8
ISSN of the journal0006-3835