Itô-Taylor schemes for solving mean-field stochastic differential equations

DOI10.4208/NMTMA.2017.0007zbMATH Open1399.60121OpenAlexW2754198043MaRDI QIDQ3176045FDOQ3176045

Authors Yabing Sun, Jie Yang, Weidong Zhao 

Publication date 18 July 2018

Published in Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/nmtma.2017.0007

zbMATH Keywords

error estimatemean-field stochastic differential equationItô-Taylor schememean-field Itô-Taylor formula

Mathematics Subject Classification ID

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

(18)

• 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
• Multi-step methods for random ODEs driven by Itô diffusions
• Gauss-quadrature method for one-dimensional mean-field SDEs
• Numerical methods for mean-field stochastic differential equations with jumps
• Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations
• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
• An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
• Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
• A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
• An explicit multistep scheme for mean-field forward-backward stochastic differential equations
• Numerical schemes for fully coupled mean-field forward backward stochastic differential 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
• Explicit high order one-step methods for decoupled forward backward stochastic differential equations
• An accurate numerical scheme for mean-field forward and backward SDEs with jumps
• An Ito-Taylor weak 3.0 method for stochastic dynamics of nonlinear systems
• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

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