Some remarks on the numerical approximation of stochastic differential equations

DOI10.1090/S0033-569X-08-01128-1MaRDI QIDQ3533907zbMATH OpenOpenAlexFDO

Authors Brian Ewald, R. Temam

Publication date 24 October 2008

Published in Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL http://www.ams.org/distribution/qam/2008-66-03/S0033-569X-08-01128-1/home.html

zbMATH Keywords

convergencenumerical examplesEuler methodAdams-Bashforth methodHeun method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for problems pertaining to geophysics (86-08) Hydrology, hydrography, oceanography (86A05)

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Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• scientific article; zbMATH DE number 933356 (Why is no real title available?)
• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• Approximations of the Brownian rough path with applications to stochastic analysis
• Cubature on Wiener space
• Discretization of stochastic differential equations. Application to simulation. Stochastic numerical methods for partial differential equations
• Error and convergence of two numerical schemes for stochastic differential equations
• Numerical Analysis of Stochastic Schemes in Geophysics
• Numerical Treatment of Stochastic Differential Equations
• On \((p,q)\)-rough paths

Cited in

(5)

• On modelling physical systems with stochastic models: diffusion versus Lévy processes
• Numerical Analysis of Stochastic Schemes in Geophysics
• scientific article; zbMATH DE number 2009872 (Why is no real title available?)
• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• Time discrete approximation of weak solutions to stochastic equations of geophysical fluid dynamics and applications

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