Higher-order implicit strong numerical schemes for stochastic differential equations

P. E. Kloeden and Eckhard Platen (eckhard.platen@uts.edu.au)

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

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 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1992-01-01
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Citations: View citations in EconPapers (18)

Published in: Kloeden, P. and Platen, E., 1992, "Higher-order Implicit Strong Numerical Schemes For Stochastic Differential-equations", Journal Of Statistical Physics, 66(1-2), 283-314.

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