Some remarks on the numerical approximation of stochastic differential equations

DOI10.1090/S0033-569X-08-01128-1zbMATH Open1152.65011OpenAlexW2041539579MaRDI QIDQ3533907FDOQ3533907

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

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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)

Cites Work

• Title not available (Why is that?)
• On \((p,q)\)-rough paths
• Numerical Treatment of Stochastic Differential Equations
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• Cubature on Wiener space
• Approximations of the Brownian rough path with applications to stochastic analysis
• Analysis of stochastic numerical schemes for the evolution equations of geophysics
• Numerical Analysis of Stochastic Schemes in Geophysics
• 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

Cited In (4)

• On modelling physical systems with stochastic models: diffusion versus Lévy processes
• Numerical Analysis of Stochastic Schemes in Geophysics
• Title not available (Why is that?)
• Analysis of stochastic numerical schemes for the evolution equations of geophysics

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