B-series analysis of iterated Taylor methods

DOI10.1007/S10543-011-0312-XzbMATH Open1234.65018arXiv1003.4398OpenAlexW1815130818MaRDI QIDQ639959FDOQ639959

Kristian Debrabant, Anne Kværnø

Publication date: 11 October 2011

Published in: BIT (Search for Journal in Brave)

Abstract: For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the underlying Taylor method, the choice of the iteration method, the predictor and the number of iterations, for It^o and Stratonovich SDEs, and for weak as well as strong convergence are derived. As special case, also the application of Taylor methods to ODEs is considered. The theory is supported by numerical experiments.

Full work available at URL: https://arxiv.org/abs/1003.4398

zbMATH Keywords

convergencestochastic differential equationnumerical experimentsstrong approximationgrowth functioniterative schemeNewton's methodweak approximationstochastic B-seriesstochastic Taylor methodIto and Stratonovich SDEs

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (7)

• High order numerical integrators for single integrand Stratonovich SDEs
• Title not available (Why is that?)
• On the MS-stability of predictor-corrector schemes for stochastic differential equations
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Composition of stochastic B-series with applications to implicit Taylor methods

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