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- W4366557475 abstract "We prove weak convergence of order one for a class of exponential based integrators for SDEs with non-globally Lipschtiz drift. Our analysis covers tamed versions of Geometric Brownian Motion (GBM) based methods as well as the standard exponential schemes. The numerical performance of both the GBM and exponential tamed methods through four different multi-level Monte Carlo techniques are compared. We observe that for linear noise the standard exponential tamed method requires severe restrictions on the stepsize unlike the GBM tamed method." @default.
- W4366557475 created "2023-04-22" @default.
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- W4366557475 date "2023-04-19" @default.
- W4366557475 modified "2023-10-14" @default.
- W4366557475 title "Weak Convergence Of Tamed Exponential Integrators for Stochastic Differential Equations" @default.
- W4366557475 doi "https://doi.org/10.48550/arxiv.2304.09496" @default.
- W4366557475 hasPublicationYear "2023" @default.
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