Rate of convergence of local linearization schemes for random differential equations

DOI10.1007/s10543-009-0225-0zbMath1172.65007MaRDI QIDQ2391028

J. C. Jimenez, F. 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 convergence; upper bound; Padé approximation; random differential equation; local linearization schemes; Krylov-Padé approximation

Mathematics Subject Classification ID

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

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise

Uses Software

• Expokit
• Expint

Cites Work

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