Modified equations for stochastic differential equations

Tony Shardlow

doi:10.1007/s10543-005-0041-0

Modified equations for stochastic differential equations

Tony Shardlow

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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.

Original language	English
Pages (from-to)	111-125
Number of pages	15
Journal	BIT Numerical Mathematics
Volume	46
Issue number	1
Early online date	2 Mar 2006
DOIs	https://doi.org/10.1007/s10543-005-0041-0
Publication status	Published - 31 Mar 2006

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This is a post-peer-review, pre-copyedit version of an article published in BIT Numerical Mathematics. The final authenticated version is available online at: https://doi.org/10.1007/s10543-005-0041-0
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Modified equations for stochastic differential equations

Abstract

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