On weak implicit and predictor-corrector methods
type: Item
instance of: scholarly article
title: On weak implicit and predictor-corrector methods
zbMATH Open document ID: 0837.60056
DOI: 10.1016/0378-4754(93)E0068-G
author: Eckhard Platen
published in: Mathematics and Computers in Simulation
publication date: 1996-05-20T00:00:00Z
review text: The paper provides a brief survey on weak schemes of discrete approximation for stochastic differential equations, i.e. the convergence order (w.r.t. the step size) of the expectation of the superposition of a smooth real function and the solution in the end point is considered. Using the stochastic Taylor expansion for obtaining approximation schemes of any order, the author gives an order 2 approximation scheme where no derivatives appear and where the Wiener integrals are substituted by easier random variables. Then order 2 implicit and predictor-corrector methods with these properties are given. At last, a systematic way is shown for obtaining higher-order implicit schemes by means of the stochastic Taylor expansion.
reviewed by: M.Gelbrich
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 41A58
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 792977
zbMATH Keywords: weak schemes of discrete approximation for stochastic differential equations
zbMATH Keywords: stochastic Taylor expansion
zbMATH Keywords: predictor-corrector methods
MaRDI profile type: Publication
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full work available at URL: 0378-4754(93)e0068-g
OpenAlex ID: W2008537717
description: scientific article; zbMATH DE number 792977