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

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)

Recommendations

• 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
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Mean-square exponential stability of stochastic theta methods for nonlinear stochastic delay integro-differential equations
• The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
• Stationary distribution of the stochastic theta method for nonlinear stochastic differential equations
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations
• The improved split-step θ methods for stochastic differential equation
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations

Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method

Cited in

(8)

• Numerical computation of Theta in a jump-diffusion model by integration by parts
• Parareal Exponential $\theta$-Scheme for Longtime Simulation of Stochastic Schrödinger Equations with Weak Damping
• 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
• 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
• A revisit of stochastic theta method with some improvements
• Stochastic Theta Method for a Reflected Stochastic Differential Equation

This page was built for publication: Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488655)