Mean-square convergence of numerical methods for random ordinary differential equations
type: Item
instance of: scholarly article
title: Mean-square convergence of numerical methods for random ordinary differential equations
zbMATH Open document ID: 1489.65017
author: Peng Wang
author: Yanzhao Cao
author: Xiaoying Han
author: Peter E. Kloeden
published in: Numerical Algorithms
publication date: 2021-04-27T00:00:00Z
review text: This paper analyses the mean square convergence of numerical methods for random ordinary differential equations. A relation between global and local order of one step methods is proved. Global mean square convergence rates are investigated on a variety of problems (including those based on fractional Brownian motion) for Taylor methods, Affine-Taylor methods and Ito-Taylor methods, which are confirmed through numerical experiments.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65L05
zbMATH DE Number: 7340126
zbMATH Keywords: random ordinary differential equations
zbMATH Keywords: mean square convergence
reviewed by: Kevin Burrage
MaRDI profile type: Publication
full work available at URL: s11075-020-00967-w
OpenAlex ID: W3045641312
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DOI: 10.1007/S11075-020-00967-W
description: scientific article; zbMATH DE number 7340126