Averaging Euler-type difference scheme

DOI10.1080/07362999708809505MaRDI QIDQ4371840zbMATH OpenOpenAlexFDO

Authors Janusz Golec

Publication date 21 January 1998

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999708809505

zbMATH Keywords

convergence problemEuler type difference schemestochastic averagingstochastic singularly perturbed systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Averaging principle and systems of singularly perturbed stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations
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• scientific article; zbMATH DE number 54145 (Why is no real title available?)

Cited in

(3)

• The efficiency of different averaging procedures in an algorithm for the Euler equations
• Sample path approximation for a class of stochastic systems
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods

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