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For linear and fully non-linear diffusion equations of Bellman-Isaacs type, we introduce a class of monotone approximation schemes relying on monotone interpolation. As opposed to classical numerical methods, these schemes converge for degenerate diffusion equations having general non-diagonal dominant coefficient matrices. Such schemes have to have a wide… (More)

In recent years, implicit stochastic Runge–Kutta (SRK) methods have been developed both for strong and weak approximations. For these methods, the stage values are only given implicitly. However, in practice these implicit equations are solved by iterative schemes such as simple iteration, modified Newton iteration or full Newton iteration. We employ a… (More)

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