NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS BASED ON GAUSSIAN MIXTURE

Li, L; Lu, JF; Mattingly, JC; Wang, LH

Li, L (corresponding author), Shanghai Jiao Tong Univ, Sch Math Sci, Inst Nat Sci, MOE LSC, Shanghai 200240, Peoples R China.

COMMUNICATIONS IN MATHEMATICAL SCIENCES, 2021; 19 (6): 1549

Abstract

We develop in this work a numerical method for stochastic differential equations (SDEs) with weak second-order accuracy based on Gaussian mixture. Unl......

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