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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…