A general implicit splitting for stabilizing numerical simulations of itô stochastic differential equations

SIAM Journal on Numerical Analysis

Volumn 35, Issue 4, 1998, Pages 1439-1451

  Petersen, W P ^a  

^a Centro Svizzero Di Calcolo Scientifico   (Switzerland)

Author keywords

Monte Carlo; Stability; Stochastic differential equation

Indexed keywords

EID: 0000743341     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/0036142996303973     Document Type: Article

References (20)

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