Rate of convergence of local linearization schemes for random differential equations

DOI10.1007/s10543-009-0225-0zbMath1172.65007OpenAlexW2034834278MaRDI QIDQ2391028

F. Carbonell, J. C. Jimenez

Publication date: 24 July 2009

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-009-0225-0

zbMATH Keywords

rate of convergenceupper boundPadé approximationrandom differential equationlocal linearization schemesKrylov-Padé approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems ⋮ Locally linearized Runge Kutta method of Dormand and Prince ⋮ An explicit numerical scheme for the computer simulation of the stochastic transport equation ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ Efficient computation of phi-functions in exponential integrators

Uses Software

• Expokit
• Expint

Cites Work

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