General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations

DOI10.4208/jcm.2011-m2019-0174zbMath1499.65015OpenAlexW4224589291WikidataQ114021197 ScholiaQ114021197MaRDI QIDQ5079566

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Publication date: 27 May 2022

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

Full work available at URL: https://doi.org/10.4208/jcm.2011-m2019-0174

zbMATH Keywords

approximationsstiff stochastic differential equationsbackward stochastic Taylor expansionsfull implicit Taylor methods

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) Numerical methods for stiff equations (65L04)

Cites Work

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• A class of split-step balanced methods for stiff stochastic differential equations
• Convergence rates of the truncated Euler-Maruyama method for 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
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Implicit Taylor methods for stiff stochastic differential equations

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