Analysis of multiscale methods for stochastic differential equations
β Scribed by E Weinan; Di Liu; Eric Vanden-Eijnden
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 313 KB
- Volume
- 58
- Category
- Article
- ISSN
- 0010-3640
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π SIMILAR VOLUMES
nonlinear evolution, and B is the M Ο« N dimensional noise term, which is a functional of , and multiplies an A robust semi-implicit central partial difference algorithm for the numerical solution of coupled stochastic parabolic partial differen-N dimensional real or complex Gaussian-distributed stot
## Abstract Adaptive timeβstepping methods based on the Monte Carlo Euler method for weak approximation of ItΓ΄ stochastic differential equations are developed. The main result is new expansions of the computational error, with computable leadingβorder term in a posteriori form, based on stochastic