Efficient Strong Integrators for Linear Stochastic Systems
نویسندگان
چکیده
منابع مشابه
Efficient Strong Integrators for Linear Stochastic Systems
We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the Neumann (stochastic Taylor) and Magnus expansions. Firstly, we consider the case when the governing linear diffusion vector fields commute with each other, but not with the linear drift vector field. We prove that nume...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2008
ISSN: 0036-1429,1095-7170
DOI: 10.1137/060656486