Averaging Euler-type difference scheme

DOI10.1080/07362999708809505zbMath0899.60049OpenAlexW2138991048MaRDI QIDQ4371840

Janusz Golec

Publication date: 21 January 1998

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999708809505

zbMATH Keywords

stochastic averagingconvergence problemstochastic singularly perturbed systemsEuler type difference scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

Cites Work

• Averaging principle and systems of singularly perturbed stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
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