Title of article
Composition of stochastic B-series with applications to implicit Taylor methods
Author/Authors
Debrabant، نويسنده , , Kristian and Kvوrnّ، نويسنده , , Anne، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
11
From page
501
To page
511
Abstract
In this article, we construct a representation formula for stochastic B-series evaluated in a B-series. This formula is used to give for the first time the order conditions of implicit Taylor methods in terms of rooted trees. Finally, as an example we apply these order conditions to derive in a simple manner a family of strong order 1.5 Taylor methods applicable to Itô SDEs.
Keywords
Stochastic B-series , stochastic differential equation , order conditions , Strong approximation , Weak approximation , Stochastic Taylor method
Journal title
Applied Numerical Mathematics
Serial Year
2011
Journal title
Applied Numerical Mathematics
Record number
1529656
Link To Document