Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations (Q5962636)
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scientific article; zbMATH DE number 6541595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations |
scientific article; zbMATH DE number 6541595 |
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Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations (English)
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15 February 2016
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The convergence order of multi-step iterative methods for the solution of systems of nonlinear equations is analyzed when the initial value is quite close to the real one. These are applied to the finite difference approximation of the solution of stochastic differential equations with diffusion coefficient independent of \(t\).
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nonlinear system
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finite difference method
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stochastic differential equation
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convergence
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multi-step iterative methods
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