Adams-type methods for the numerical solution of stochastic ordinary differential equations
type: Item
instance of: scholarly article
title: Adams-type methods for the numerical solution of stochastic ordinary differential equations
zbMATH Open document ID: 0963.65004
DOI: 10.1023/A:1022363612387
published in: BIT
publication date: 2001-07-03T00:00:00Z
review text: Numerical methods analogous to the Adams predictor-corrector methods for approximating the solution of ordinary differential equations are delineated for Stratonovich stochastic ordinary differential equations. The strong order of convergence of these methods is established. Tables listing error results for different stepsizes when numerically approximating the solutions of three examples are given to demonstrate the effectiveness of these methods.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65L20
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 1533017
zbMATH Keywords: numerical examples
zbMATH Keywords: error bounds
zbMATH Keywords: Adams predictor-corrector methods
zbMATH Keywords: Stratonovich stochastic ordinary differential equations
zbMATH Keywords: convergence
author: Luigi Brugnano
author: Kevin Burrage
author: Pamela M. Burrage
reviewed by: Melvin D. Lax
MaRDI profile type: Publication
full work available at URL: a:1022363612387
OpenAlex ID: W1494733497
description: scientific article; zbMATH DE number 1533017