On weak implicit and predictor-corrector methods

DOI10.1016/0378-4754(93)E0068-GzbMATH Open0837.60056OpenAlexW2008537717MaRDI QIDQ1897658FDOQ1897658

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

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• Publication:4865433
• scientific article; zbMATH DE number 44054

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)

Cites Work

• Title not available (Why is that?)
• Discretization and simulation of stochastic differential equations
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Title not available (Why is that?)
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Option Pricing Under Incompleteness and Stochastic Volatility
• Stability of weak numerical schemes for stochastic differential equations

Cited In (15)

• A variance reduction technique based on integral representations
• Weak versions of stochastic Adams-Bashforth and semi-implicit leapfrog schemes for SDEs
• The error behaviour of a general class of predictor-corrector methods
• Simplified order 4.0 weak Taylor schemes for additive noise
• On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
• Analysis of some numerical schemes for stochastic differential equations
• Weak first- or second-order implicit Runge-Kutta methods for stochastic differential equations with a scalar Wiener process
• Title not available (Why is that?)
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
• Weak second-order splitting schemes for Lagrangian Monte Carlo particle methods for the composition PDF/FDF transport equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations

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