On the existence and the applications of modified equations for stochastic differential equations

SIAM Journal on Scientific Computing

Volumn 33, Issue 1, 2011, Pages 102-130

  Zygalakis, K C ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Backward error analysis; Harmonic oscillator; Langevin equation; Multiplicative noise; Stochastic differential equations; Weak convergence

Indexed keywords

DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

BACKWARD ERROR ANALYSIS; HARMONIC OSCILLATORS; HIGH-ORDER; HIGHER-ORDER; LANGEVIN EQUATION; LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS; MODIFIED EQUATION; MULTIPLICATIVE NOISE; STOCHASTIC DIFFERENTIAL EQUATIONS; WEAK CONVERGENCE;

NUMERICAL METHODS;

EID: 79952296821     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/090762336     Document Type: Article

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