New Itô--Taylor expansions

DOI10.1016/S0377-0427(03)00464-3zbMath1031.65014OpenAlexW2020814831MaRDI QIDQ1408408

Jesus Vigo Aguiar, Alicia Tocino

Publication date: 15 September 2003

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(03)00464-3

zbMATH Keywords

stochastic differential equationsweak approximationItô-Taylor expansions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Truncated ITÔ-Taylor expansions
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Runge-Kutta methods for numerical solution of stochastic differential equations

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