Mean-square convergence of numerical methods for random ordinary differential equations (Q2021772)
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scientific article; zbMATH DE number 7340126
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| English | Mean-square convergence of numerical methods for random ordinary differential equations |
scientific article; zbMATH DE number 7340126 |
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Mean-square convergence of numerical methods for random ordinary differential equations (English)
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27 April 2021
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This paper analyses the mean square convergence of numerical methods for random ordinary differential equations. A relation between global and local order of one step methods is proved. Global mean square convergence rates are investigated on a variety of problems (including those based on fractional Brownian motion) for Taylor methods, Affine-Taylor methods and Ito-Taylor methods, which are confirmed through numerical experiments.
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random ordinary differential equations
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mean square convergence
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0.8480619788169861
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0.8333373069763184
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0.8326697945594788
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0.8259273171424866
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0.8159627914428711
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