B-series analysis of iterated Taylor methods (Q639959): Difference between revisions

The authors construct stochastic B-series and corresponding growth functions for stochastic implicit Taylor methods that use an iterative scheme for solving stochastic differential equations (SDEs) numerically. They give convergence results based on the order of the underlying Taylor method, the choice of the iteration method, the predictor, and the number of iterations, for Ito and Stratonovich SDEs, and for weak as well as strong convergence, and investigate an application of Taylor methods to ordinary differential equations. Numerical experiments in the paper match the theoretical results.