High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise (Q1960209): Difference between revisions

New explicit numerical methods called high order local linear (HOLL) methods are introduced for the purpose of strong approximation of the solution of the \(d\)-dimensional stochastic differential equation with additive noise \[ dX(t)= f(t,X(t))\,dt+ \sum^m_{j=1} g_j(t)\,dW^j_t,\quad t\in [t_0,T],\quad X(t_0)= x_0, \] where \(W_t\) is an \(m\)-dimensional standard Wiener process. Theorems are proved that establish the global order of convergence and the A-stability of the methods. The methods are shown, for linear equations with stationary solutions, to produce a random attractor that converges to the actual one as the stepsize approaches zero, a property dubbed random A-stability. Two types of HOLL methods, one employing Taylor schemes and the other employing Runge-Kutta schemes, are presented and then shown in examples to have faster convergence with less computation cost than some comparable known methods.