A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations

DOI10.1016/j.cam.2021.113924zbMath1482.65010OpenAlexW3211940281WikidataQ115359651 ScholiaQ115359651MaRDI QIDQ2074870

Yanyan Li

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113924

zbMATH Keywords

numerical methodstochastic differential equationsmean-square stabilityfully implicit methodstochastic Taylor expansions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Euler scheme for solving a class of stochastic differential variational inequalities with some applications

Cites Work

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• A class of split-step balanced methods for stiff stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Implicit Taylor methods for stiff stochastic differential equations

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