Publication:4459791
zbMath1045.65008MaRDI QIDQ4459791
Werner Römisch, Renate Winkler
Publication date: 18 May 2004
numerical examples; strong solutions; Gaussian white noise; step size control; Euler scheme; one-step methods; Milstein schemes; trapezoidal scheme; drift-implicit schemes; electrical network equation; Stochastic differential-algebraic equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34A09: Implicit ordinary differential equations, differential-algebraic equations
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
94C05: Analytic circuit theory
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
65L80: Numerical methods for differential-algebraic equations
65L50: Mesh generation, refinement, and adaptive methods for ordinary differential equations
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