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

DOI10.1098/rspa.2003.1247zbMath1048.65004OpenAlexW2116228907MaRDI QIDQ3043439

Tianhai Tian, Kevin Burrage, 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

trajectoriesconvergencesample pathsnumerical methodsstochastic differential equationsstrong solutionssurvey paperstochastic integralsMagnus expansionexplicit and implicit methodsBrownian pathstochastic Taylor series expansionvariable-step-size implementations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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