scientific article; zbMATH DE number 844583

zbMath0840.65146MaRDI QIDQ4865433

Norbert Hofmann

Publication date: 13 February 1996

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Wiener processnumerical experimentsnumerical stability\(A\)-stabilitythird order methodstrong approximationEuler schemeIto stochastic differential equationmultiple stochastic integralsfourth order methodweak approximationsMathematical Financestochastic Taylor formulaIto processWiener incrementsvariable stepsize algorithmAitken-Neville type extrapolationtest equations of Stratonovich type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A variable step-size control algorithm for the weak approximation of stochastic differential equations ⋮ A step size control algorithm for the weak approximation of stochastic differential equations ⋮ Step size control in the numerical solution of stochastic differential equations ⋮ On quasi-Monte Carlo simulation of stochastic differential equations