Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

DOI10.1080/07362990500522494zbMATH Open1100.65008OpenAlexW2077779824MaRDI QIDQ5488655FDOQ5488655

Authors: Rachel Koskodan, Edward J. Allen 

Publication date: 22 September 2006

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

Full work available at URL: https://doi.org/10.1080/07362990500522494

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zbMATH Keywords

numerical examplesRichardson extrapolationstochastic theta methodimplicit Euler methodsItô stochastic differential equations

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Title not available (Why is that?)
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method

Cited In (8)

• A revisit of stochastic theta method with some improvements
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Parareal Exponential $\theta$-Scheme for Longtime Simulation of Stochastic Schrödinger Equations with Weak Damping
• Numerical approximation of stochastic theta method for random periodic solution of stochastic differential equations
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• Numerical computation of Theta in a jump-diffusion model by integration by parts

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