Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor-Stratonovich expansion

DOI10.1134/S0965542520030100zbMath1469.65032arXiv1806.10705OpenAlexW3104618987MaRDI QIDQ2207514

D. F. Kuznetsov

Publication date: 23 October 2020

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.10705

zbMATH Keywords

Ito stochastic differential equationFourier-Legendre seriesiterated Ito stochastic integraliterated Stratonovich stochastic integralTaylor-Stratonovich expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

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 ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Numerical solution of SDE through computer experiments. Including floppy disk
• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• Stratonovich and Ito Stochastic Taylor Expansions
• The approximation of multiple stochastic integrals
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