On the convergence of LMF-type methods for SODEs

DOI10.1007/S00009-004-0017-3MaRDI QIDQ2569752zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

general linear methodsglobal orderLinear Multistep Formulaestochastic ODEsstrong convergence

Mathematics Subject Classification ID

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

Review text

In a previous paper [\textit{L. Brugnano}, \textit{K. Burrage} and \textit{P. M. Burrage}, BIT 40, 451--470 (2000; Zbl 0963.65004)], some numerical methods for stochastic ordinary differential equations (SODEs), based on Linear Multistep Formulae (LMF), were proposed. Nevertheless, a formal proof for the convergence of such methods is still lacking. We here provide such a proof, based on a matrix formulation of the discrete problem, which allows some more insight in the structure of LMF-type methods for SODEs.

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Cited in

(1)

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

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