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

  1. de la Cruz Cancino, H.
  2. Biscay, R.J.
  3. Jimenez, J.C.
  4. Carbonell, F.
  5. Ozaki, T.
Journal:
BIT Numerical Mathematics

ISSN: 0006-3835

Year of publication: 2010

Volume: 50

Issue: 3

Pages: 509-539

Type: Article

DOI: 10.1007/S10543-010-0272-6 GOOGLE SCHOLAR