3 papers
math.PR2020
Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
Carlos M. Mora, Juan Carlos Jimenez, Monica Selva
We address the weak numerical solution of stochastic differential equations driven by independent Brownian motions (SDEs for short). This paper develops a new methodology to design…
math.NA2015
A weak Local Linearization scheme for stochastic differential equations with multiplicative noise
J. C. Jimenez, C. Mora, M. Selva
In this paper, a weak Local Linearization scheme for Stochastic Differential Equations (SDEs) with multiplicative noise is introduced. First, for a time discretization, the solutio…
math.NA2013
A stable numerical scheme for stochastic differential equations with multiplicative noise
C. M. Mora, H. A. Mardones, J. C. Jimenez +2
We introduce a new approach for designing numerical schemes for stochastic differential equations (SDEs). The approach, which we have called direction and norm decomposition method…