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A weak second-order split-step method for numerical simulations of stochastic differential equations.

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Bibliographic Details
Title: A weak second-order split-step method for numerical simulations of stochastic differential equations.
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
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Header DbId: aci
DbLabel: Applied Science & Technology Source
An: 98286485
AccessLevel: 2
PubType: Academic Journal
PubTypeId: academicJournal
PreciseRelevancyScore: 0
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        Value: 10.1007/s10543-014-0482-4
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      – Code: eng
        Text: English
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              Text: Sep2014
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