Adams methods for the efficient solution of stochastic differential equations with additive noise (Q1377295): Difference between revisions

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Adams methods for the efficient solution of stochastic differential equations with additive noise
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    Adams methods for the efficient solution of stochastic differential equations with additive noise (English)
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    24 August 1998
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    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.
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    discrete time approximation
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    stochastic differential equations
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    Adams-Bashforth/Moulton method
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    convergence
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    electronic circuits
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