Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
From MaRDI portal
Publication:2000498
DOI10.1007/s10444-018-9638-0zbMath1415.60057OpenAlexW2898589565WikidataQ129049698 ScholiaQ129049698MaRDI QIDQ2000498
Publication date: 28 June 2019
Published in: Advances in Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10444-018-9638-0
Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series, Unnamed Item, Unnamed Item, Unnamed Item, An Optimal Polynomial Approximation of Brownian Motion, Unnamed Item, Unnamed Item, Unnamed Item, Unnamed Item
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- High strong order stochastic Runge-Kutta methods for Stratonovich stochastic differential equations with scalar noise
- Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
- Preservation of quadratic invariants of stochastic differential equations via Runge-Kutta methods
- Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
- The truncated Euler-Maruyama method for stochastic differential equations
- Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
- Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
- A mathematical model and numerical method for studying platelet adhesion and aggregation during blood clotting
- Improved linear multi-step methods for stochastic ordinary differential equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
- Adams-type methods for the numerical solution of stochastic ordinary differential equations
- On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations
- Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
- A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicative trace class noise
- High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
- Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
- Stochastic symplectic Runge-Kutta methods for the strong approximation of Hamiltonian systems with additive noise
- Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
- Order Conditions of Stochastic Runge--Kutta Methods by B-Series
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
- Diffusions for Global Optimization
- Gaussian Hilbert Spaces
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Simulations of Two-Step Maruyama Methods for Nonlinear Stochastic Delay Differential Equations
- B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
- Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
- Optimal Approximation of the Second Iterated Integral of Brownian Motion
- Multistep methods for SDEs and their application to problems with small noise
- High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
