Adams methods for the efficient solution of stochastic differential equations with additive noise (Q1377295): Difference between revisions
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Revision as of 03:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | 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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