Multi-step methods for random ODEs driven by Itô diffusions

DOI10.1016/j.cam.2015.08.019zbMath1327.34109OpenAlexW1749914828MaRDI QIDQ893125

Peter E. Kloeden, Yusuke Asai

Publication date: 13 November 2015

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.2015.08.019

zbMATH Keywords

method of linespathwise convergenceB-stabilitylinear multi-step methodsItô diffusionrandom ODE and PDE

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for boundary value problems involving PDEs (65N40)

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• Multistep methods for SDEs and their application to problems with small noise
• Pathwise approximation of random ordinary differential equations

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