Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4640824 | Journal of Computational and Applied Mathematics | 2009 | 6 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
A. Tocino,