Mean-square convergence of numerical methods for random ordinary differential equations

DOI10.1007/s11075-020-00967-wzbMath1489.65017OpenAlexW3045641312MaRDI QIDQ2021772

Xiaoying Han, Peter E. Kloeden, Peng Wang, Yanzhao Cao

Publication date: 27 April 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00967-w

zbMATH Keywords

mean square convergencerandom ordinary differential equations

Mathematics Subject Classification ID

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

Cites Work

• Numerical schemes for random ODEs with affine noise
• Mean-square convergence of numerical approximations for a class of backward stochastic differential equations
• Multi-step methods for random ODEs driven by Itô diffusions
• Pathwise Taylor schemes for random ordinary differential equations
• Numerical solution of random differential equations: a mean square approach
• Stable Integration of Stiff Random Ordinary Differential Equations
• Random Ordinary Differential Equations and Their Numerical Solution
• Pathwise convergent higher order numerical schemes for random ordinary differential equations
• Pathwise approximation of random ordinary differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Mean-square convergence of numerical methods for random ordinary differential equations