Some remarks on the numerical approximation of stochastic differential equations

DOI10.1090/S0033-569X-08-01128-1zbMath1152.65011OpenAlexW2041539579MaRDI 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

convergencenumerical examplesEuler methodAdams-Bashforth methodHeun method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hydrology, hydrography, oceanography (86A05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Computational methods for problems pertaining to geophysics (86-08)

Cites Work

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• 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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