Rate of convergence of local linearization schemes for random differential equations

DOI10.1007/S10543-009-0225-0MaRDI QIDQ2391028zbMATHOpenAlexFDO

Authors Juan Carlos Jimenez, Felix Carbonell

Publication date 24 July 2009

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-009-0225-0

zbMATH Keywords

rate of convergenceupper boundrandom differential equationlocal linearization schemesPadé approximationKrylov-Padé approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(8)

• On the rate of convergence of solutions in domain with random multilevel oscillating boundary
• Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems
• An explicit numerical scheme for the computer simulation of the stochastic transport equation
• The local linearization method for numerical integration of random differential equations
• Rate of convergence of local linearization schemes for initial-value problems
• Efficient computation of phi-functions in exponential integrators
• Locally linearized Runge Kutta method of Dormand and Prince
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

Describes a project that uses

Uses Software

• Expokit
• Expint

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