The local linearization method for numerical integration of random differential equations (Q2568632)
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scientific article; zbMATH DE number 2215902
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| English | The local linearization method for numerical integration of random differential equations |
scientific article; zbMATH DE number 2215902 |
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The local linearization method for numerical integration of random differential equations (English)
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18 October 2005
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The authors consider a local linearization method for the numerical integration of random differential equations. The method is adapted to equations that are defined by vector fields that are typically at most Hölder continuous with respect to time. The method improves the order of strong convergence of conventional numerical methods.
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numerical integration
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random differential equations
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local linearization
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0.8201684951782227
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0.8032119274139404
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0.778404712677002
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0.7783649563789368
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