Adams methods for the efficient solution of stochastic differential equations with additive noise (Q1377295)
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scientific article; zbMATH DE number 1112339
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| English | Adams methods for the efficient solution of stochastic differential equations with additive noise |
scientific article; zbMATH DE number 1112339 |
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Adams methods for the efficient solution of stochastic differential equations with additive noise (English)
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24 August 1998
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The paper considers the discrete time approximation of stochastic differential equations with additive noise. It uses the Adams-Bashforth/Moulton method and investigates theoretically and experimentally its order of strong convergence. The method is then applied in the context of electronic circuits.
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discrete time approximation
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stochastic differential equations
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Adams-Bashforth/Moulton method
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convergence
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electronic circuits
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0.8367847204208374
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0.8211962580680847
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0.7936405539512634
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0.7898934483528137
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0.7889967560768127
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