The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations

DOI10.1081/SAP-200056694zbMATH Open1115.60066OpenAlexW2164694109MaRDI QIDQ3423693FDOQ3423693

Authors: Rózsa Horváth-Bokor 

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200056694

Recommendations

• scientific article; zbMATH DE number 1244257
• Multistep methods for SDEs and their application to problems with small noise
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• Improved linear multi-step methods for stochastic ordinary differential equations
• Characterization of bistability for stochastic multistep methods

zbMATH Keywords

numerical stabilitymean-square convergence: stochastic multi-step schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• Adams methods for the efficient solution of stochastic differential equations with additive noise
• Adams-type methods for the numerical solution of stochastic ordinary differential equations
• Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
• Multistep methods for SDEs and their application to problems with small noise
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T], \mu,\mathbb{R}^d)\)
• The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term *
• Title not available (Why is that?)

Cited In (13)

• Title not available (Why is that?)
• Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations
• Generalized two-step Milstein methods for stochastic differential equations
• A Lax equivalence theorem for stochastic differential equations
• Title not available (Why is that?)
• Multi-step methods for random ODEs driven by Itô diffusions
• Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations
• A decreasing step method for strongly oscillating stochastic models
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
• Title not available (Why is that?)

This page was built for publication: The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3423693)