Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

DOI10.1080/07362990500522494zbMath1100.65008OpenAlexW2077779824MaRDI QIDQ5488655

Rachel Koskodan, Edward J. Allen

Publication date: 22 September 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500522494

zbMATH Keywords

numerical examplesRichardson extrapolationstochastic theta methodItô stochastic differential equationsimplicit Euler methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Expansion of the global error for numerical schemes solving stochastic differential equations
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