Simplified order 4.0 weak Taylor schemes for additive noise

✍ Scribed by A. Tocino

• Book ID: 104006626
• Publisher: Elsevier Science
• Year: 2009
• Tongue: English
• Weight: 382 KB
• Volume: 231
• Category: Article
• ISSN: 0377-0427
• DOI: 10.1016/j.cam.2009.02.002

✦ Synopsis

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.