Stratonovich–Taylor expansion and numerical methods∗

DOI10.1080/07362999208809294zbMath0760.65139OpenAlexW2049759835MaRDI QIDQ4022597

Roger Pettersson

Publication date: 17 January 1993

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999208809294

zbMATH Keywords

stochastic differential equationsstochastic processEuler methodHeun-Maruyama methodStratonovich-Taylor series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Error bounds for numerical methods for ordinary differential equations (65L70) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Discretization and simulation of stochastic differential equations
• A New Representation for Stochastic Integrals and Equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
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