Strong 1.5 order scheme for second-order stochastic differential equations without Levy area

DOI10.1016/J.APNUM.2022.10.007OpenAlexW4306804756WikidataQ115360221 ScholiaQ115360221MaRDI QIDQ2106219

Zhongqiang Zhang, Wan-Rong Cao, Yu-Fen Liu

Publication date: 9 December 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.10.007

zbMATH Keywords

strong convergenceinitial value problemsnumerical solutionspectral approximationpiecewise version of spectral expansion

Mathematics Subject Classification ID

Numerical methods for partial differential equations, boundary value problems (65Nxx) Probabilistic methods, stochastic differential equations (65Cxx)

Related Items (2)

Exponential integrator for stochastic strongly damped wave equation based on the Wong-Zakai approximation ⋮ Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise

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