Implicit methods for stochastic differential equations

来源 :4th International Conference on Numerical Analysis of Differ | 被引量 : 0次 | 上传用户:seacowo
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  In this talk,Ill report our work on convergence and stability of implicit methods for stochastic differential equations(SDEs).The outline is as follows. The balanced implicit methods 1.for stochastic delay differential equations 2.for stochastic pantograph equations 3.for SDEs with jumps A family of fully implicit Milstein methods for SDEs
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