Adams-type methods for the numerical solution of stochastic ordinary differential equations

DOI10.1023/A:1022363612387zbMath0963.65004OpenAlexW1494733497MaRDI QIDQ1587308

Luigi Brugnano, Pamela M. Burrage, Kevin Burrage

Publication date: 3 July 2001

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022363612387

zbMATH Keywords

convergencenumerical exampleserror boundsAdams predictor-corrector methodsStratonovich stochastic ordinary differential equations

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations, Existence and uniqueness of the solutions and convergence of semi-implicit Euler methods for stochastic pantograph equations, Improved linear multi-step methods for stochastic ordinary differential equations, Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise, High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise, Mean square convergence of the numerical solution of random differential equations, Deterministic implicit two-step Milstein methods for stochastic differential equations, Economical Runge-Kutta methods for numerical solution of stochastic differential equations, Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods, The composite Euler method for stiff stochastic differential equations, Convergence and stability of a numerical method for nonlinear stochastic pantograph equations, Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations, Numerical solution of random differential initial value problems: Multistep methods, The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations, Numerical solution of stochastic differential problems in the biosciences, Generalized two-step Maruyama methods for stochastic differential equations, The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations, Generalized two-step Milstein methods for stochastic differential equations