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

DOI10.1016/J.AMC.2018.08.038zbMATH Open1428.60079OpenAlexW2889740691MaRDI QIDQ2007682FDOQ2007682

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

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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)

Cites Work

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• Modeling with Itô Stochastic Differential Equations
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• A survey of numerical methods for stochastic differential equations
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• Stochastic integral
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• Multiple stochastic integrals with Mathematica
• Stability of weak numerical schemes for stochastic differential equations
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• A new approach to the discretization of Chaplygin's method
• Approximation de newton pour les équations différentielles stochastiques
• A note on Newton's method for stochastic differential equations and its error estimate
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• Chaplygin's method if Newton's method
• Construction of some accelerated methods for solving scalar stochastic differential equations
• Widening basins of attraction of optimal iterative methods
• Some derivative-free solvers for numerical solution of SODEs
• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
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• A note on Newton's method for system of stochastic differential equations

Cited In (2)

• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• Efficient family of three-step with-memory methods and their dynamics

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