论文信息 - Modified Equations for Stochastic Differential Equations

Modified Equations for Stochastic Differential Equations

We describe a backward error analysis for stochastic differential equations with respect to weak convergence. Modified equations are provided for forward and backward Euler approximations to Itô SDEs with additive noise, and extensions to other types of equation and approximation are discussed.

Tony Shardlow | T. Shardlow

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