Simplified order 4.0 weak Taylor schemes for additive noise

DOI10.1016/j.cam.2009.02.002zbMath1167.65328OpenAlexW2048774845MaRDI QIDQ2389547

Yanyan Li

Publication date: 17 July 2009

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.2009.02.002

zbMATH Keywords

weak convergencestochastic differential equationsstochastic numerical methodTaylor scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

Cites Work

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• Multiple stochastic integrals with Mathematica
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Computational Science - ICCS 2004

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