A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
type: Item
instance of: scholarly article
title: A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
zbMATH Open document ID: 1482.65010
author: Yanyan Li
published in: Journal of Computational and Applied Mathematics
publication date: 2022-02-11T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 7472420
zbMATH Keywords: fully implicit method
zbMATH Keywords: numerical method
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: stochastic Taylor expansions
zbMATH Keywords: mean-square stability
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113924
OpenAlex ID: W3211940281
Wikidata QID: Q115359651
cites work: Q4714065
cites work: Balanced Implicit Methods for Stiff Stochastic Systems
cites work: Implicit Taylor methods for stiff stochastic differential equations
cites work: Split-step backward balanced Milstein methods for stiff stochastic systems
cites work: The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
cites work: A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
cites work: A class of split-step balanced methods for stiff stochastic differential equations
cites work: Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
cites work: Q4319807
DOI: 10.1016/J.CAM.2021.113924
description: scientific article; zbMATH DE number 7472420