@Article{IJNAM-5-673,
author = {W. Zhao, L. Tian and L. Ju},
title = {Convergence Analysis of a Splitting Method for Stochastic Differential Equations},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2008},
volume = {5},
number = {4},
pages = {673--692},
abstract = {<p style="text-align: justify;">In this paper, we propose a fully drift-implicit splitting
numerical scheme for the stochastic differential equations driven by the
standard $d$-dimensional Brownian motion. We prove that its strong
convergence rate is of the same order as the standard Euler-Maruyama
method. Some numerical experiments are also carried out to demonstrate
this property. This scheme allows us to use the latest information
inside each iteration in the Euler-Maruyama method so that better
approximate solutions could be obtained than the standard approach.</p>},
issn = {2617-8710},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnam/832.html}
}