Adams-type methods for the numerical solution of stochastic ordinary differential equations (Q1587308): Difference between revisions
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Latest revision as of 09:59, 30 July 2024
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English | Adams-type methods for the numerical solution of stochastic ordinary differential equations |
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Adams-type methods for the numerical solution of stochastic ordinary differential equations (English)
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3 July 2001
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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.
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numerical examples
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error bounds
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Adams predictor-corrector methods
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Stratonovich stochastic ordinary differential equations
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convergence
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