Full implicit schemes for stochastic differential equations with one noise
2016
Two kinds of full implicit numerical schemes for stochastic differential equations in the It o sense are given via construction of the numerical methods for the equivalent stochastic differential equations in the sense of Stratonovich and Backward-It o . This approach could be applied to the stochastic differential equations with one noise, and we prove that the two methods which are generated by the equivalent stochastic differential equations are of mean-square order 1.
Keywords:
- Stochastic partial differential equation
- Exponential integrator
- Stratonovich integral
- Stochastic differential equation
- Mathematical optimization
- Examples of differential equations
- Differential algebraic geometry
- Mathematical analysis
- Numerical partial differential equations
- Mathematics
- Runge–Kutta method
- Numerical methods for ordinary differential equations
- Backward differentiation formula
- Differential algebraic equation
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