Abstract
In this paper we describe a general 2nd-order accurate (weak sense) procedure for stabilizing Monte-Carlo simulations of Itô stochastic differential equations. The splitting procedure includes explicit Runge--Kutta (Heun) methods, semi-implicit methods, and the trapezoidal rule. We prove the semi-implicit method of Öttinger [Stochastic Processes in Polymeric Fluids, Springer-Verlag, Berlin, 1996] for stabilizing simulations in the presence of nonlinear drift coefficients.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
