A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations

DOI10.1016/J.CAM.2021.113924MaRDI QIDQ2074870zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 11 February 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113924

zbMATH Keywords

fully implicit methodmean-square stabilitynumerical methodstochastic differential equationsstochastic Taylor expansions

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cites work

• A class of split-step balanced methods for stiff stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Balanced Implicit Methods for Stiff Stochastic Systems
• Convergence rates of full-implicit truncated Euler-Maruyama method for stochastic differential equations
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Implicit Taylor methods for stiff stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

Cited in

(11)

• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• A family of Chaplygin-type solvers for Itô stochastic differential equations
• scientific article; zbMATH DE number 6830743 (Why is no real title available?)
• scientific article; zbMATH DE number 4003481 (Why is no real title available?)
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Implicit Taylor methods for stiff stochastic differential equations
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs
• Euler scheme for solving a class of stochastic differential variational inequalities with some applications
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Exponential stability of numerical solutions to stochastic differential equations -- the necessity of fully implicit methods

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