Pathwise convergent higher order numerical schemes for random ordinary differential equations

DOI10.1098/rspa.2007.0055zbMath1140.65015OpenAlexW2145222923MaRDI QIDQ5443629

Arnulf Jentzen, Peter E. Kloeden

Publication date: 21 February 2008

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2007.0055

zbMATH Keywords

numerical resultsfractional Brownian motionBrownian motionerror boundspathwise convergencerandom ordinary differential equationsTaylor-like expansionone-step numerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) 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) Error bounds for numerical methods for ordinary differential equations (65L70)

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