Improved linear multi-step methods for stochastic ordinary differential equations
convergenceimproved multi-step methodsmixed classical-stochastic integralsnumerical resultsstochastic linear multi-step methodsstochastic ordinary differential equations
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
The authors investigate linear multi-step methods for stochastic ordinary differential equations and study their convergence properties for problems with small noise or additive noise. Some useful theoretical and numerical results are presented.
- Multistep methods for SDEs and their application to problems with small noise
- Stability of the multistep methods of linear stochastic differential equations
- Stochastic Runge-Kutta methods for Itô sodes with small noise
- On two-step schemes for SDEs with small noise
- Mean-square convergence of stochastic multi-step methods with variable step-size
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- Adams-type methods for the numerical solution of stochastic ordinary differential equations
- General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Mean-square convergence of stochastic multi-step methods with variable step-size
- Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
- Multistep methods for SDEs and their application to problems with small noise
- On two-step schemes for SDEs with small noise
- Step size control in the numerical solution of stochastic differential equations
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
- Numerical simulation of a linear stochastic oscillator with additive noise
- Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
- Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
- Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump
- Two-step Runge-Kutta methods for stochastic differential equations
- Mean-square convergence of stochastic multi-step methods with variable step-size
- On two-step schemes for SDEs with small noise
- The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
- Generalized two-step Milstein methods for stochastic differential equations
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- Euler methods with different step-sizes for different equations for stochastic differential equations
- Multistep methods for SDEs and their application to problems with small noise
- Balanced implicit two-step Maruyama methods for stochastic differential equations
- Multi-step methods for random ODEs driven by Itô diffusions
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