A weak second-order split-step method for numerical simulations of stochastic differential equations.
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| Title: | A weak second-order split-step method for numerical simulations of stochastic differential equations. |
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| Authors: | Perret, C.1, Petersen, W.1, wpp@math.ethz.ch |
| Source: | BIT: Numerical Mathematics; Sep2014, Vol. 54 Issue 3, p801-821, 21p |
| Database: | Applied Science & Technology Source |
| ISSN: | 00063835 |
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| DOI: | 10.1007/s10543-014-0482-4 |
