Pathwise Taylor schemes for random ordinary differential equations

DOI10.1007/s10543-009-0211-6zbMath1162.65305OpenAlexW2075796763MaRDI QIDQ1014903

Peter E. Kloeden, Arnulf Jentzen

Publication date: 29 April 2009

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-009-0211-6

zbMATH Keywords

numerical examplesfractional Brownian motionBrownian motionone-step methodrandom ordinary differential equationsintegral Taylor expansion

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Numerical solutions to stochastic differential and integral equations (65C30)

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