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math.NA2013
Convergence rate of weak Local Linearization schemes for stochastic differential equations with additive noise
J. C. Jimenez, F. Carbonell
There exists a diversity of weak Local Linearization (LL) schemes for the integration of stochastic differential equations with additive noise, which differ with respect to the alg…
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…