The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
DOI10.1081/SAP-200056694zbMath1115.60066OpenAlexW2164694109MaRDI QIDQ3423693
Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/sap-200056694
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
Related Items (2)
Cites Work
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T, \mu,\mathbb{R}^d)\)]
- Adams-type methods for the numerical solution of stochastic ordinary differential equations
- Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
- Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
- The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *
- Multistep methods for SDEs and their application to problems with small noise
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
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