Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

From MaRDI portal
Publication:654123


DOI10.1016/j.cam.2011.06.012zbMath1252.65019MaRDI QIDQ654123

Juan-Miguel Gracia

Publication date: 21 December 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2011.06.012


60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L04: Numerical methods for stiff equations