Improved linear multi-step methods for stochastic ordinary differential equations

DOI10.1016/J.CAM.2006.03.038MaRDI QIDQ885943zbMATH OpenOpenAlexFDO

Authors Evelyn Buckwar, Renate Winkler

Publication date 14 June 2007

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.2006.03.038

zbMATH Keywords

convergencenumerical resultsstochastic ordinary differential equationsimproved multi-step methodsmixed classical-stochastic integralsstochastic linear multi-step methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• 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
• Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
• Mean-square convergence of stochastic multi-step methods with variable step-size
• 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.

Cited in

(14)

• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Generalized two-step Milstein methods for stochastic differential equations
• The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
• Multi-step methods for random ODEs driven by Itô diffusions
• The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
• Two-step Runge-Kutta methods for stochastic differential equations
• Multistep methods for SDEs and their application to problems with small noise
• On two-step schemes for SDEs with small noise
• 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
• Numerical simulation of a linear stochastic oscillator with additive noise
• Euler methods with different step-sizes for different equations for stochastic differential equations
• Mean-square convergence of stochastic multi-step methods with variable step-size

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