Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
DOI10.1016/j.cam.2011.06.012zbMath1252.65019OpenAlexW2027614030MaRDI QIDQ654123
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
numerical experimentsstiff stochastic differential equationsmean-square stabilityweak numerical schemesweak approximationssemi-implicit schemesstochastic Taylor formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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) Numerical methods for stiff equations (65L04)
Related Items (2)
Cites Work
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