Pathwise approximation of random ordinary differential equations

DOI10.1023/A:1021995918864MaRDI QIDQ5960910zbMATH OpenOpenAlexFDO

Authors Lars Grüne, Peter E. Kloeden

Publication date 1 July 2002

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1021995918864

zbMATH Keywords

averaging methodconvergenceerror reductionEuler methodHeun methodsvector random ordinary differential equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

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• Multi-step methods for random ODEs driven by Itô diffusions
• Random differential operational calculus: theory and applications
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