Implicit Taylor methods for stiff stochastic differential equations

DOI10.1016/S0168-9274(01)00034-4MaRDI QIDQ5939898zbMATH OpenFDO

Authors Tianhai Tian, Kevin Burrage

Publication date 23 July 2001

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0168-9274(01)00034-4

zbMATH Keywords

convergenceimplicit Euler-Taylor methodimplicit Milstein-Taylor methodnumerical resultsstabilitystiff Itô stochastic differential equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Review text

Three implicit numerical methods are presented for approximating the solution of a stiff Itô stochastic differential equation of the form NEWLINE\[NEWLINEdy(t)= f(y(t)) dt+ \sum^d_{j=1} g_i(y(t)) dW_j(t),\quad y(t_0)= y_0,NEWLINE\]NEWLINE where \(W_j(t)\), \(j= 1,\dots, d\), are independent Wiener processes.NEWLINENEWLINENEWLINEThe first, called the implicit Euler-Taylor method (IET), is shown to have strong convergence of order .5 and a superior region of mean square stability when compared to its corresponding explicit and semi-explicit methods.NEWLINENEWLINENEWLINEThe second called the implicit Milstein-Taylor method (IMT), is shown to have strong convergence of order 1.0 and a superior region of mean square stability when compared to its corresponding explicit and semi-explicit method, but a slightly inferior region as a compared to the IET method.NEWLINENEWLINENEWLINEThe third, called the implicit 1.5 Taylor, is shown to have strong convergence of order 1.5, but an inferior region of mean square stability when compared to its corresponding semi-explicit method and a very inferior region when compared to the IET and IMT methods.NEWLINENEWLINENEWLINEThe paper concludes by giving numerical results for two test equations.

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Cited in

(65)

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