Pathwise approximation of random ordinary differential equations

DOI10.1023/A:1021995918864zbMath0998.65010OpenAlexW36225591MaRDI QIDQ5960910

Peter E. Kloeden, Lars Grüne

Publication date: 1 July 2002

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021995918864

zbMATH Keywords

convergenceEuler methodaveraging methoderror reductionHeun methodsvector random ordinary differential equation

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) Error bounds for numerical methods for ordinary differential equations (65L70)

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