SIAM Journal on Numerical Analysis, Vol. 40, No. 3 (2003), pp. 1041-1063 (23 pages) Traditional finite-time convergence theory for numerical methods applied to stochastic differential equations (SDEs) ...

A split-step method is used to discretize the time variable for the numerical solution of the nonlinear Schrödinger equation. The space variable is discretized by means of a finite difference and a ...