Two-step strong order 1.5 schemes for stochastic differential equations

DOI10.1007/s11075-016-0227-3zbMath1375.65008OpenAlexW2547008329MaRDI QIDQ2407917

M. J. Senosiain, Alicia Tocino

Publication date: 6 October 2017

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0227-3

zbMATH Keywords

stochastic differential equationsbackward differentiation formulamean square stabilitytwo-step methodAdams-MoultonAdams-Bashford

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
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