Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations (Q678212)
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scientific article; zbMATH DE number 1000363
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| English | Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations |
scientific article; zbMATH DE number 1000363 |
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Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations (English)
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20 November 1997
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The paper considers weak discrete time approximations for solutions of stochastic differential equations. The well-known rooted tree analysis developed by Butcher for ordinary differential equations is generalised to the case of stochastic differential equations. The roots are bi-colored corresponding to ordinary and stochastic integral terms. The order conditions are derived for the Rosenbrock-Wanner type numerical schemes. These are known to have good stability and efficiency properties. The analysis crucially involves the Stratonovich-Taylor expansion.
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stochastic differential equations
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rooted tree analysis
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order conditions
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Rosenbrock-Wanner type numerical schemes
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stability
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Stratonovich-Taylor expansion
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0.896306574344635
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0.8798865675926208
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0.7873756885528564
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