A family of Chaplygin-type solvers for Itô stochastic differential equations

DOI10.1016/J.AMC.2018.08.038MaRDI QIDQ2007682zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 22 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2018.08.038

zbMATH Keywords

Banach spaceconvergence analysisstochastic differential equationsChaplygin's methodItô integral

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)

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Cited in

(5)

• Chaplygin's method for second-order neutral differential equations with piecewise constant deviating arguments
• Exploiting a higher-order scheme for matrix square root and its inverse simultaneously
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• Improving the convergence order of Steffensen's method from two to four and its dynamic
• Efficient family of three-step with-memory methods and their dynamics

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