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Simplified order 4.0 weak Taylor schemes for additive noise
Authors:A Tocino
Institution:Departamento de Matemáticas, Universidad de Salamanca, Plaza de la Merced, 1. 37008-Salamanca, Spain
Abstract:Following Kloeden and Platen P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992] Taylor schemes are considered here as the starting point to obtain simplified Taylor schemes replacing the multiple integrals by simpler variables. The conditions that a group of variables has to fulfill so that the new scheme reaches weak-order 4.0 in the additive noise case are given explicitly, as well as the way to find such groups. For a particular selection, a pair of stochastic schemes with order 4.0 in the weak sense, correcting the one proposed in P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992], is obtained.
Keywords:60H10  65C20  93E03
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