Improved linear multi-step methods for stochastic ordinary differential equations

DOI10.1016/j.cam.2006.03.038zbMath1128.65005OpenAlexW2030562161MaRDI QIDQ885943

Evelyn Buckwar, Renate Winkler

Publication date: 14 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.03.038

zbMATH Keywords

convergencenumerical resultsstochastic ordinary differential equationsimproved multi-step methodsmixed classical-stochastic integralsstochastic linear multi-step methods

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)

Related Items (8)

Multi-step methods for random ODEs driven by Itô diffusions ⋮ The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump ⋮ Generalized two-step Milstein methods for stochastic differential equations

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• Multistep methods for SDEs and their application to problems with small noise
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