Adams methods for the efficient solution of stochastic differential equations with additive noise

DOI10.1007/BF02684477zbMath0893.65074MaRDI QIDQ1377295

Stefan Schäffler, Georg Denk

Publication date: 24 August 1998

Published in: Computing (Search for Journal in Brave)

zbMATH Keywords

convergencestochastic differential equationselectronic circuitsdiscrete time approximationAdams-Bashforth/Moulton method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

Related Items (16)

On mean-square stability of two-step Maruyama methods for nonlinear neutral stochastic delay differential equations ⋮ Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ Improved linear multi-step methods for stochastic ordinary differential equations ⋮ Polynomial chaos for the approximation of uncertainties: Chances and limits ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Deterministic implicit two-step Milstein methods for stochastic differential equations ⋮ The composite Euler method for stiff stochastic differential equations ⋮ Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations ⋮ Numerical solution of random differential initial value problems: Multistep methods ⋮ Numerical solution of stochastic differential-algebraic equations with applications to transient noise simulation of microelectronic circuits ⋮ Generalized two-step Maruyama methods for stochastic differential equations ⋮ The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations ⋮ Noise analysis in circuit simulation with stochastic differential equations ⋮ Generalized two-step Milstein methods for stochastic differential equations

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• Discretization and simulation of stochastic differential equations
• A review on stochastic differential equations for applications in hydrology
• Classification and numerical simulation of electric circuits
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• Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
• Approximate Integration of Stochastic Differential Equations
• Unconstrained global optimization using stochastic intergral equations
• Stochastic differential equations. An introduction with applications.

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