Strong 1.5 order scheme for second-order stochastic differential equations without Levy area

DOI10.1016/j.apnum.2022.10.007WikidataQ115360221 ScholiaQ115360221MaRDI QIDQ2106219

Zhongqiang Zhang, Wan-Rong Cao, Yu-Fen Liu

Publication date: 9 December 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.10.007

zbMATH Keywords

strong convergence; initial value problems; numerical solution; spectral approximation; piecewise version of spectral expansion

Mathematics Subject Classification ID

65Nxx: Numerical methods for partial differential equations, boundary value problems

65Cxx: Probabilistic methods, stochastic differential equations

Related Items

Exponential integrator for stochastic strongly damped wave equation based on the Wong-Zakai approximation, Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise

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