Numerical schemes for random ODEs with affine noise

DOI10.1007/s11075-015-0038-yzbMath1357.65009OpenAlexW2176693837MaRDI QIDQ285043

Peter E. Kloeden, Yusuke Asai

Publication date: 18 May 2016

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

Full work available at URL: https://doi.org/10.1007/s11075-015-0038-y

zbMATH Keywords

affine control systemsaffine structurecompound Poisson processespathwise convergencerandom ODE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Observer‐based H_∞ control of a stochastic Korteweg–de Vries–Burgers equation ⋮ Numerical schemes for ordinary delay differential equations with random noise ⋮ Mean-square convergence of numerical methods for random ordinary differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multi-step methods for random ODEs driven by Itô diffusions
• Pathwise Taylor schemes for random ordinary differential equations
• Random Differential Equations in Scientific Computing
• Financial Modelling with Jump Processes
• Stable Integration of Stiff Random Ordinary Differential Equations
• Pathwise convergent higher order numerical schemes for random ordinary differential equations
• Higher order numerical schemes for affinely controlled nonlinear systems
• Pathwise approximation of random ordinary differential equations

This page was built for publication: Numerical schemes for random ODEs with affine noise