On weak implicit and predictor-corrector methods

DOI10.1016/0378-4754(93)E0068-GzbMath0837.60056OpenAlexW2008537717MaRDI QIDQ1897658

Eckhard Platen

Publication date: 20 May 1996

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0068-g

zbMATH Keywords

stochastic Taylor expansionpredictor-corrector methodsweak schemes of discrete approximation for stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Probabilistic methods, stochastic differential equations (65C99)

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