A weak second-order split-step method for numerical simulations of stochastic differential equations

DOI10.1007/s10543-014-0482-4zbMath1309.65008OpenAlexW1969302236MaRDI QIDQ466817

Wesley P. Petersen, Cedric Perret

Publication date: 31 October 2014

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/325703/files/10543_2014_Article_482.pdf

zbMATH Keywords

stabilitynumerical examplestochastic differential equationsMonte Carlo simulationsplit-step methodtrapezoidal rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Improved long-period generators based on linear recurrences modulo 2
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Geometric Numerical Integration
• On the Construction and Comparison of Difference Schemes
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