scientific article; zbMATH DE number 1494224

MaRDI QIDQ4497378zbMATH OpenFDO

Authors Vigirdas Mackevičius

Publication date 22 August 2000

zbMATH Keywords

extrapolationweak approximation of stochastic differential equations

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)

Review text

Let \(X^h\) be a first-order weak approximation of a multidimensional stochastic differential equation. Let \[ \overline X^h(t_k)= X^h(t_k),\quad \overline X^h(t_{k+ 1})= 2X^{h/2}(t_{k+ 1})- x^h(t_{k+ 1}). \] The approximation \(X^h\) is said to be good for extrapolation if the approximation \(\overline X^h\) defined above is the second-order one. The author obtains sufficient conditions of ``goodness for extrapolation. This enables to construct relatively simple second-order approximations. For the entire collection see [Zbl 0939.00029].

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(5)

• Approximation of stochastic equations driven by predictable processes
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• Approximated exponential integrators for the stochastic Manakov equation

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