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Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

✍ Scribed by R. Zeghdane; L. Abbaoui; A. Tocino

Book ID
113511694
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
505 KB
Volume
236
Category
Article
ISSN
0377-0427

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📜 SIMILAR VOLUMES

Higher order implicit multistep methods
Higher order implicit multistep methods for matrix differential equations
✍ J.L. Morera; G. Rubio; L. Jódar 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 510 KB

This paper proposes implicit multistep matrix methods for the numerical solution of stiff initial value matrix problems. The study of matrix difference equations involving the matrix coefficients of the multistep method permits one to obtain convergence results, as well as bounds for the global disc