Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
DOI10.1016/j.cam.2011.06.012zbMath1252.65019MaRDI 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 experiments; stiff stochastic differential equations; mean-square stability; weak numerical schemes; weak approximations; semi-implicit schemes; stochastic Taylor formula
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