Publication:4459791

zbMath1045.65008MaRDI QIDQ4459791

Werner Römisch, Renate Winkler

Publication date: 18 May 2004

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items

Stochastic implicit difference equations of index-1, Solvability and stability of stochastic singular difference equations with constant coefficient matrices of index-ν, Multi-Step Maruyama Methods for Stochastic Delay Differential Equations, Stability of stochastic singular difference equations with delay, A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise, Runge-Kutta methods for jump-diffusion differential equations, Stability radii of differential-algebraic equations with respect to stochastic perturbations, Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations, Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise