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.

This is a preview. Log in through your library . Abstract A finite element method is derived for solving equations of the following type $-(p(x)u'(x, \omega))' + (q(x) + r(x)\lambda(\omega))^2u(x, ...

Abstract: The nonstandard finite difference time domain (NS-FDTD) method is a dispersion error reduction technique for the FDTD method. High accuracy is achieved by ...