Modified Equations for Stochastic Differential Equations |
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| Authors: | Tony Shardlow |
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| Institution: | (1) School of Mathematics, Manchester University, Oxford Road, M13 9PL, UK |
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| Abstract: | We describe a backward error analysis for stochastic differential equations with respect to weak convergence. Modified equations are provided for forward and backward Euler approximations to Itô SDEs with additive noise, and extensions to other types of equation and approximation are discussed. |
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| Keywords: | stochastic differential equations numerical approximation backward error analysis |
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