Un schéma multipas d'approximation de l'équation de Langevin

Dominique Lépingle and Bernard Ribémont

Stochastic Processes and their Applications, 1991, vol. 37, issue 1, 61-69

Abstract: In the approximation of solutions of some second-order stochastic differential equations, a multistep method converges faster than the Cauchy-Euler scheme for usual stochastic differential equations.

Date: 1991
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