Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
Publication:1861961
DOI10.1016/S0168-9274(02)00141-1zbMath1015.65003MaRDI QIDQ1861961
Publication date: 10 March 2003
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
strong convergenceWiener processesnumerical stabilityone-step methodstochastic ordinary differential equationsIto vector stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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