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

DOI10.1016/J.APNUM.2022.10.007MaRDI QIDQ2106219zbMATH OpenOpenAlexWikidataFDO

Authors Zhongqiang Zhang, Yu-Fen Liu, Wanrong Cao

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

initial value problemsnumerical solutionpiecewise version of spectral expansionspectral approximationstrong convergence

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods for partial differential equations, boundary value problems (65Nxx)

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Cites work

• Criteria for the selection of stochastic models of particle trajectories in turbulent flows
• Finite element and difference approximation of some linear stochastic partial differential equations
• Finite element methods for semilinear elliptic stochastic partial differential equations
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Numerical Approximation of Some Linear Stochastic Partial Differential Equations Driven by Special Additive Noises
• Numerical Methods for Second‐Order Stochastic Differential Equations
• Numerical methods for stochastic partial differential equations with white noise
• On numerical solution of stochastic partial differential equations of elliptic type
• On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
• On the gap between deterministic and stochastic ordinary differential equations
• On Wong–Zakai approximations with δ–martingales
• Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
• Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
• Strong and weak convergence order of finite element methods for stochastic PDEs with spatial white noise
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

Cited in

(5)

• Second-order algorithm for simulating stochastic differential equations with white noises
• 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
• On strong convergence of a fully discrete scheme for solving stochastic strongly damped wave equations
• An explicit Euler scheme for generalized n-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises

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