Numerical methods for strong solutions of stochastic differential equations: an overview

DOI10.1098/rspa.2003.1247zbMath1048.65004MaRDI QIDQ3043439

Kevin Burrage, Tianhai Tian, Pamela M. Burrage

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2003.1247

zbMATH Keywords

trajectories; convergence; sample paths; numerical methods; stochastic differential equations; strong solutions; survey paper; stochastic integrals; Magnus expansion; explicit and implicit methods; Brownian path; stochastic Taylor series expansion; variable-step-size implementations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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