On the convergence of LMF-type methods for SODEs

DOI10.1007/S00009-004-0017-3zbMATH Open1167.65321OpenAlexW2089287941MaRDI QIDQ2569752FDOQ2569752

Authors: Giulia Carreras, Luigi Brugnano, Kevin Burrage 

Publication date: 20 October 2005

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-004-0017-3

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zbMATH Keywords

strong convergencegeneral linear methodsglobal orderstochastic ODEsLinear Multistep Formulae

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cited In (1)

• Mean square convergence of the numerical solution of random differential equations

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