典型文献
GENERAL FULL IMPLICIT STRONG TAYLOR APPROXIMATIONS FOR STIFF STOCHASTIC DIFFERENTIAL EQUATIONS
文献摘要：
In this paper,we present the backward stochastic Taylor expansions for a Ito process,in-cluding backward Ito-Taylor expansions and backward Stratonovich-Taylor expansions.We construct the general full implicit strong Taylor approximations(including Ito-Taylor and Stratonovich-Taylor schemes)with implicitness in both the deterministic and the stochas-tic terms for the stiff stochastic differential equations(SSDE)by employing truncations of backward stochastic Taylor expansions.We demonstrate that these schemes will converge strongly with corresponding order 1,2,3,....Mean-square stability has been investigated for full implicit strong Stratonovich-Taylor scheme with order 2,and it has larger mean-square stability region than the explicit and the semi-implicit strong Stratonovich-Taylor schemes with order 2.We can improve the stability of simulations considerably without too much additional computational effort by using our full implicit schemes.The full implicit strong Taylor schemes allow a larger range of time step sizes than other schemes and are suitable for SSDE with stiffness on both the drift and the diffusion terms.Our numerical experiment show these points.
文献关键词：
中图分类号：
作者姓名：
Kai Liu;Guiding Gu
作者机构：
School of Mathematics,Shanghai University of Finance and Economics,Shanghai 200433,China;College of Science,Hunan University of Technology and Business,Changsha 410205,China
文献出处：
引用格式：
[1]Kai Liu;Guiding Gu-.GENERAL FULL IMPLICIT STRONG TAYLOR APPROXIMATIONS FOR STIFF STOCHASTIC DIFFERENTIAL EQUATIONS)[J].计算数学（英文版）,2022(04):541-569
A类：
IMPLICIT,TAYLOR,APPROXIMATIONS,STIFF,STOCHASTIC,DIFFERENTIAL,EQUATIONS,Stratonovich,implicitness
B类：
GENERAL,FULL,STRONG,FOR,In,this,paper,we,present,backward,stochastic,Taylor,expansions,Ito,process,We,construct,general,full,approximations,including,schemes,both,deterministic,terms,differential,equations,SSDE,by,employing,truncations,demonstrate,that,these,will,converge,strongly,corresponding,order,Mean,square,stability,been,investigated,larger,mean,region,than,explicit,semi,can,improve,simulations,considerably,without,too,much,additional,computational,effort,using,our,allow,range,step,sizes,other,suitable,stiffness,drift,diffusion,Our,numerical,experiment,show,points
AB值：
0.424465
相似文献
机标中图分类号，由域田数据科技根据网络公开资料自动分析生成，仅供学习研究参考。
