On the convergence of LMF-type methods for SODEs (Q2569752): Difference between revisions
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scientific article
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| English | On the convergence of LMF-type methods for SODEs |
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On the convergence of LMF-type methods for SODEs (English)
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20 October 2005
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In a previous paper [\textit{L. Brugnano}, \textit{K. Burrage} and \textit{P. M. Burrage}, BIT 40, 451--470 (2000; Zbl 0963.65004)], some numerical methods for stochastic ordinary differential equations (SODEs), based on Linear Multistep Formulae (LMF), were proposed. Nevertheless, a formal proof for the convergence of such methods is still lacking. We here provide such a proof, based on a matrix formulation of the discrete problem, which allows some more insight in the structure of LMF-type methods for SODEs.
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stochastic ODEs
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strong convergence
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global order
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Linear Multistep Formulae
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general linear methods
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