On numerical methods to second-order singular initial value problems with additive white noise
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Publication:2161072
additive white noiseEuler-Maruyama methodexistence and uniquenessstochastic singular initial value problemsstrong convergence
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) Numerical methods for initial value problems involving ordinary differential equations (65L05) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cited in
(5)- Strong 1.5 order scheme for second-order stochastic differential equations without Levy area
- On strong convergence of two numerical methods for singular initial value problems with multiplicative white noise
- An explicit Euler scheme for generalized n-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
- Strong convergence of the tamed Euler-Maruyama method for stochastic singular initial value problems with non-globally Lipschitz continuous coefficients
- Block boundary value methods for nonlinear delay singular IVPs
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