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Higher-order implicit strong numerical schemes for stochastic differential equations |
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| Authors: | P. E. Kloeden E. Platen |
| Affiliation: | (1) Department of Computing and Mathematics, Deakin University, 3217 Geelong, Victoria, Australia;(2) Karl-Weierstrass-Institut für Mathematik, Mohrenstrasse 39, 1086 Berlin, Germany;(3) Australian National University, SMS, SRS, GPO Box 4, ACT 2605 Canberra, Australia |
| Abstract: | Higher-order implicit numerical methods which are suitable for stiff stochastic differential equations are proposed. These are based on a stochastic Taylor expansion and converge strongly to the corresponding solution of the stochastic differential equation as the time step size converges to zero. The regions of absolute stability of these implicit and related explicit methods are also examined. |
| Keywords: | Stiff stochastic differential equations numerical simulations strong order of convergence implicit and fully implicit schemes stochastic Taylor formula |
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