Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations

DOI10.1016/S0168-9274(02)00141-1zbMath1015.65003MaRDI QIDQ1861961

Rózsa Horváth-Bokor

Publication date: 10 March 2003

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

strong convergence; Wiener processes; numerical stability; one-step method; stochastic ordinary differential equations; Ito vector stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

The composite Milstein methods for the numerical solution of Itô stochastic differential equations, The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations, T-stability of the semi-implicit Euler method for delay differential equations with multiplicative noise, Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations, The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations

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