HIGHER-ORDER IMPLICIT STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：107

作者：

KLOEDEN, PE

PLATEN, E

机构：

[1] KARL WEIERSTRASS INST MATH,W-1086 BERLIN,GERMANY

[2] AUSTRALIAN NATL UNIV,SMS,SRS,CANBERRA,ACT 2605,AUSTRALIA

来源：

JOURNAL OF STATISTICAL PHYSICS | 1992年 / 66卷 / 1-2期

关键词：

STIFF STOCHASTIC DIFFERENTIAL EQUATIONS; NUMERICAL SIMULATIONS; STRONG ORDER OF CONVERGENCE; IMPLICIT AND FULLY IMPLICIT SCHEMES; STOCHASTIC TAYLOR FORMULA;

D O I：

10.1007/BF01060070

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：283 / 314

页数：32

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