We propose a new approach to constructing weak numerical methods for finding solutions to stochastic systems with small noise. For these methods we prove an error ...

We propose a new concept which allows us to apply any numerical method of weak approximation to a very broad class of stochastic differential equations (SDEs) with nonglobally Lipschitz coefficients.

Introductory course on using a range of finite-difference methods to solve initial-value and initial-boundary-value problems involving partial differential equations. The course covers theoretical ...

Ordinary differential equations (ODEs) are also called initial value problems because a time zero value for each first-order differential equation is needed. The following is an example of a ...