On numerical methods to second-order singular initial value problems with additive white noise

DOI10.1016/j.cam.2022.114539zbMath1492.65021OpenAlexW4283368166MaRDI QIDQ2161072

Nan Deng, Wan-Rong Cao, Guofei Pang

Publication date: 4 August 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114539

zbMATH Keywords

strong convergenceexistence and uniquenessEuler-Maruyama methodadditive white noisestochastic singular initial value problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Uses Software

• avalanche.f

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