The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
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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)
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Cited in
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- Generalized two-step Milstein methods for stochastic differential equations
- A Lax equivalence theorem for stochastic differential equations
- Multi-step methods for random ODEs driven by Itô diffusions
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- 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
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