Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

DOI10.1016/j.cam.2011.06.012zbMath1252.65019OpenAlexW2027614030MaRDI QIDQ654123

Juan-Miguel Gracia

Publication date: 21 December 2011

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

Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.012

zbMATH Keywords

numerical experimentsstiff stochastic differential equationsmean-square stabilityweak numerical schemesweak approximationssemi-implicit schemesstochastic Taylor formula

Mathematics Subject Classification ID

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) Numerical methods for stiff equations (65L04)

Related Items (2)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ An Ito-Taylor weak 3.0 method for stochastic dynamics of nonlinear systems

Cites Work

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