Stratonovich–Taylor expansion and numerical methods∗

DOI10.1080/07362999208809294MaRDI QIDQ4022597zbMATH OpenOpenAlexFDO

Authors Roger Pettersson

Publication date 17 January 1993

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999208809294

zbMATH Keywords

Euler methodHeun-Maruyama methodstochastic differential equationsstochastic processStratonovich-Taylor series

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for initial value problems involving ordinary differential equations (65L05) Error bounds for numerical methods for ordinary differential equations (65L70)

Recommendations

• New representations of the Taylor-Stratonovich expansion
• scientific article; zbMATH DE number 1380005
• Stratonovich and Ito Stochastic Taylor Expansions
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• Truncated ITÔ-Taylor expansions

Cites work

• A New Representation for Stochastic Integrals and Equations
• Discretization and simulation of stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 16922 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)

Cited in

(7)

• New representations of the Taylor-Stratonovich expansion
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Discretization of stochastic differential equations by the product expansion for the chen series
• Stratonovich and Ito Stochastic Taylor Expansions
• scientific article; zbMATH DE number 1380005 (Why is no real title available?)
• Exponential Taylor methods: analysis and implementation
• Stochastic Taylor expansion (Taylor-Itô) and numerical methods for stochastic differential equations

This page was built for publication: Stratonovich–Taylor expansion and numerical methods^∗

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4022597)