most citedFirst-order weak balanced schemes for bilinear stochastic differential equations

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math.PR2014★ 1 cited

First-order weak balanced schemes for bilinear stochastic differential equations

H. A. Mardones, C. M. Mora

We use the linear scalar SDE as a test problem to show that it is possible to construct almost sure stable first-order weak balanced schemes based on the addition of stabilizing fu…