Numerical solution of random differential initial value problems: Multistep methods

DOI10.1002/mma.1331zbMath1206.65019OpenAlexW1985397066MaRDI QIDQ3068390

L. Villafuerte, Lucas Jodar, Juan-Carlos Cortés

Publication date: 14 January 2011

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.1331

zbMATH Keywords

convergencenumerical examplesmean square calculusrandom initial value problemrandom linear multistep scheme

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) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Numerical Analysis of Stochastic Schemes in Geophysics
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