B-series analysis of iterated Taylor methods

DOI10.1007/S10543-011-0312-XMaRDI QIDQ639959zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Anne Kværnø

Publication date 11 October 2011

Published in BIT (Search for Journal in Brave)

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

zbMATH Keywords

convergencegrowth functioniterative schemeIto and Stratonovich SDEsNewton's methodnumerical experimentsstochastic B-seriesstochastic differential equationstochastic Taylor methodstrong approximationweak approximation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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.

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Cites work

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Cited in

(8)

• On the MS-stability of predictor-corrector schemes for stochastic differential equations
• High order numerical integrators for single integrand Stratonovich SDEs
• scientific article; zbMATH DE number 5778212 (Why is no real title available?)
• A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
• Composition of stochastic B-series with applications to implicit Taylor methods
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems

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