Pathwise Taylor schemes for random ordinary differential equations

DOI10.1007/s10543-009-0211-6zbMath1162.65305MaRDI QIDQ1014903

Peter E. Kloeden, Arnulf Jentzen

Publication date: 29 April 2009

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-009-0211-6

zbMATH Keywords

numerical examples; fractional Brownian motion; Brownian motion; one-step method; random ordinary differential equations; integral Taylor expansion

Mathematics Subject Classification ID

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L05: Numerical methods for initial value problems involving ordinary differential equations

65C30: Numerical solutions to stochastic differential and integral equations

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