Mathematics – Numerical Analysis
Scientific paper
2010-03-23
BIT Numerical Mathematics (2011), Volume 51, Number 3, 529-553
Mathematics
Numerical Analysis
Scientific paper
10.1007/s10543-011-0312-x
For stochastic implicit Taylor methods that use an iterative scheme to compute their numerical solution, stochastic B--series and corresponding growth functions are constructed. From these, convergence results based on the order of the underlying Taylor method, the choice of the iteration method, the predictor and the number of iterations, for It\^o and Stratonovich SDEs, and for weak as well as strong convergence are derived. As special case, also the application of Taylor methods to ODEs is considered. The theory is supported by numerical experiments.
Debrabant Kristian
Kværnø Anne
No associations
LandOfFree
Stochastic B-series analysis of iterated Taylor methods does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Stochastic B-series analysis of iterated Taylor methods, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Stochastic B-series analysis of iterated Taylor methods will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-211388