2010•BIT Numerical MathematicsRequires access

High order local linearization methods: An approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise

H. De la Cruz Cancino, R. Biscay, Juan Carlos Jiménez, Félix Carbonell, Tohru Ozaki

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Key concepts: Mathematics, Linearization, Integrator, Ordinary differential equation, Stochastic differential equation, Stability (learning theory), Convergence (economics), Applied mathematics

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High order local linearization methods: An approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise — Research Paper | ScholarLens