Multistep methods for SDEs and their application to problems with small noise

DOI10.1137/040602857zbMath1117.60068MaRDI QIDQ5470980

Evelyn Buckwar, Renate Winkler

Publication date: 2 June 2006

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/09e13f79a2d6877b0edaf0ee3d9df6331b22f811

zbMATH Keywords

mean-square convergence; small noise; mean-square consistency; two-step Maruyama methods; mean-square numerical stability; stochastic linear multistep method

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

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