A family of Chaplygin-type solvers for Itô stochastic differential equations

DOI10.1016/j.amc.2018.08.038zbMath1428.60079OpenAlexW2889740691MaRDI QIDQ2007682

Yanyan Li

Publication date: 22 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.amc.2018.08.038

zbMATH Keywords

convergence analysisItô integralstochastic differential equationsBanach spaceChaplygin's method

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)

Related Items (1)

An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

Cites Work

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• A note on Newton's method for system of stochastic differential equations
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• Stability of weak numerical schemes for stochastic differential equations

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