On weak implicit and predictor-corrector methods

DOI10.1016/0378-4754(93)E0068-GMaRDI QIDQ1897658zbMATH OpenOpenAlexFDO

Authors Eckhard Platen

Publication date 20 May 1996

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(93)e0068-g

zbMATH Keywords

predictor-corrector methodsstochastic Taylor expansionweak schemes of discrete approximation for stochastic differential equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• Discretization and simulation of stochastic differential equations
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Option Pricing Under Incompleteness and Stochastic Volatility
• Stability of weak numerical schemes for stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations

Cited in

(15)

• Simplified order 4.0 weak Taylor schemes for additive noise
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Analysis of some numerical schemes for stochastic differential equations
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• A variance reduction technique based on integral representations
• On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
• scientific article; zbMATH DE number 844583 (Why is no real title available?)
• The error behaviour of a general class of predictor-corrector methods
• Weak versions of stochastic Adams-Bashforth and semi-implicit leapfrog schemes for SDEs
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

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