scientific article; zbMATH DE number 5257362

MaRDI QIDQ5453897zbMATH OpenFDO

Authors Omid Solaymani Fard

Publication date 3 April 2008

zbMATH Keywords

linearizationnonlinear stochastic differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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(8)

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• A novel approach to construct numerical methods for stochastic differential equations
• Convergence of the weighted format for non-linearity stochastic differential equation
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• The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation
• Stochastic partial functional differential equations with locally monotone coefficients, locally Lipschitz non-linearity and delay
• Fundamental theory of nonlinear Itô stochastic differential equations under the local Lipschitz condition
• Method for simulating non-linear stochastic differential equations in ℝ¹

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