Adams methods for the efficient solution of stochastic differential equations with additive noise
type: Item
instance of: scholarly article
title: Adams methods for the efficient solution of stochastic differential equations with additive noise
zbMATH Open document ID: 0893.65074
DOI: 10.1007/BF02684477
published in: Computing
publication date: 1998-08-24T00:00:00Z
review text: The paper considers the discrete time approximation of stochastic differential equations with additive noise. It uses the Adams-Bashforth/Moulton method and investigates theoretically and experimentally its order of strong convergence. The method is then applied in the context of electronic circuits.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 65L05
zbMATH DE Number: 1112339
zbMATH Keywords: discrete time approximation
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Adams-Bashforth/Moulton method
zbMATH Keywords: convergence
zbMATH Keywords: electronic circuits
author: Georg Denk
author: Stefan Schäffler
reviewed by: Eckhard Platen
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1112339