Stochastic Taylor expansion and strong numerical schemes

19 Maio 2010, 10:00 Juan António Acebron de Torres

The stochastic Taylor expansion was introduced, along with the two different ways of measuring the order of convergence, strong and weak. In addition, some numerical schemes based on the stochastic Taylor expansion was theoretically discussed analyzing their order of convergence, as well as, implementend in practice for solving numerically a few simple SDEs.