Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods

DOI10.1007/978-3-642-22368-6_1zbMATH Open1258.60042OpenAlexW415404417MaRDI QIDQ2914786FDOQ2914786

Authors: Henri Schurz 

Publication date: 21 September 2012

Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22368-6_1

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zbMATH Keywords

consistencyconvergencestabilitynumerical approximationstochastic differential equationspositivitytheta method

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)

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Cited In (7)

• A brief review on stability investigations of numerical methods for systems of stochastic differential equations
• The truncated Milstein method for stochastic differential equations with commutative noise
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• First-order weak balanced schemes for stochastic differential equations
• A stable numerical scheme for stochastic differential equations with multiplicative noise

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