A weak trapezoidal method for a class of stochastic differential equations

DOI10.4310/CMS.2011.V9.N1.A15MaRDI QIDQ390252zbMATH OpenOpenAlexFDO

Authors David F. Anderson, Jonathan C. Mattingly

Publication date 22 January 2014

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.3475, http://intlpress.com/site/pub/pages/journals/items/cms/content/vols/0009/0001/a015/index.html

zbMATH Keywords

error analysisnumerical methodstochastic differential equationweak trapezoidal method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: We present a numerical method for the approximation of solutions for the class of stochastic differential equations driven by Brownian motions which induce stochastic variation in fixed directions. This class of equations arises naturally in the study of population processes and chemical reaction kinetics. We show that the method constructs paths that are second order accurate in the weak sense. The method is simpler than many second order methods in that it neither requires the construction of iterated Ito integrals nor the evaluation of any derivatives. The method consists of two steps. In the first an explicit Euler step is used to take a fractional step. This fractional point is then combined with the initial point to obtain a higher order, trapezoidal like, approximation. The higher order of accuracy stems from the fact that both the drift and the quadratic variation of the underlying SDE are approximated to second order.

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