On numerical methods to second-order singular initial value problems with additive white noise
DOI10.1016/j.cam.2022.114539zbMath1492.65021MaRDI QIDQ2161072
Nan Deng, Wan-Rong Cao, Guofei Pang
Publication date: 4 August 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114539
strong convergence; existence and uniqueness; Euler-Maruyama method; additive white noise; stochastic singular initial value problems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34F05: Ordinary differential equations and systems with randomness
65L05: Numerical methods for initial value problems involving ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Uses Software
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