Some remarks on the numerical approximation of stochastic differential equations

DOI10.1090/S0033-569X-08-01128-1zbMath1152.65011MaRDI QIDQ3533907

B. D. Ewald, Roger M. 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

convergence; numerical examples; Euler method; Adams-Bashforth method; Heun method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

86A05: Hydrology, hydrography, oceanography

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

86-08: Computational methods for problems pertaining to geophysics

Cites Work

• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• Approximations of the Brownian rough path with applications to stochastic analysis
• On \((p,q)\)-rough paths
• Cubature on Wiener space
• Numerical Treatment of Stochastic Differential Equations
• Error and convergence of two numerical schemes for stochastic differential equations
• Numerical Analysis of Stochastic Schemes in Geophysics
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