Composition of stochastic B-series with applications to implicit Taylor methods
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Publication:623272
DOI10.1016/j.apnum.2010.11.014zbMath1208.65014arXiv1003.4397MaRDI QIDQ623272
Anne Kværnø, Kristian Debrabant
Publication date: 14 February 2011
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.4397
stochastic differential equation; numerical example; weak approximation; order conditions; strong approximation; rooted trees; stochastic B-series; stochastic Taylor method
65C30: Numerical solutions to stochastic differential and integral equations
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Cites Work
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