Numerical schemes for random ODEs with affine noise

DOI10.1007/S11075-015-0038-YzbMATH Open1357.65009OpenAlexW2176693837MaRDI QIDQ285043FDOQ285043

Authors: 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

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zbMATH Keywords

affine control systemsaffine structurecompound Poisson processespathwise convergencerandom ODE

Mathematics Subject Classification ID

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

Cites Work

• Financial Modelling with Jump Processes
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• Higher order numerical schemes for affinely controlled nonlinear systems
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• Pathwise Taylor schemes for random ordinary differential equations
• Random differential equations in scientific computing
• Taylor approximations for stochastic partial differential equations
• Stable integration of stiff random ordinary differential equations
• Numerical schemes for random ODEs via stochastic differential equations
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• Pathwise convergent higher order numerical schemes for random ordinary differential equations
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• Pathwise approximation of random ordinary differential equations
• Multi-step methods for random ODEs driven by Itô diffusions

Cited In (4)

• Mean-square convergence of numerical methods for random ordinary differential equations
• Title not available (Why is that?)
• Numerical schemes for ordinary delay differential equations with random noise
• Observer‐based H_∞ control of a stochastic Korteweg–de Vries–Burgers equation

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