Improved linear multi-step methods for stochastic ordinary differential equations (Q885943)

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Improved linear multi-step methods for stochastic ordinary differential equations
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    Improved linear multi-step methods for stochastic ordinary differential equations (English)
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    14 June 2007
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    The authors investigate linear multi-step methods for stochastic ordinary differential equations and study their convergence properties for problems with small noise or additive noise. Some useful theoretical and numerical results are presented.
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    stochastic linear multi-step methods
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    improved multi-step methods
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    mixed classical-stochastic integrals
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    stochastic ordinary differential equations
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    convergence
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    numerical results
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