Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
type: Item
instance of: scholarly article
title: Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
zbMATH Open document ID: 0876.65098
DOI: 10.1007/BF02510172
author: Yoshio Komori
author: Taketomo Mitsui
author: Hiroshi Sugiura
published in: BIT
publication date: 1997-11-20T00:00:00Z
review text: The paper considers weak discrete time approximations for solutions of stochastic differential equations. The well-known rooted tree analysis developed by Butcher for ordinary differential equations is generalised to the case of stochastic differential equations. The roots are bi-colored corresponding to ordinary and stochastic integral terms. The order conditions are derived for the Rosenbrock-Wanner type numerical schemes. These are known to have good stability and efficiency properties. The analysis crucially involves the Stratonovich-Taylor expansion.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1000363
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: rooted tree analysis
zbMATH Keywords: order conditions
zbMATH Keywords: Rosenbrock-Wanner type numerical schemes
zbMATH Keywords: stability
zbMATH Keywords: Stratonovich-Taylor expansion
reviewed by: Eckhard Platen
describes a project that uses: RODAS
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1000363