Rate of convergence of local linearization schemes for random differential equations

DOI10.1007/S10543-009-0225-0MaRDI QIDQ2391028zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez, Felix Carbonell

Publication date 24 July 2009

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-009-0225-0

zbMATH Keywords

Krylov-Padé approximationlocal linearization schemesPadé approximationrandom differential equationrate of convergenceupper bound

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)

Review text

A theorem is proved that establishes an upper bound on the rate of convergence of local linearization schemes for approximating the solution of a random differential equation. The theorem is then applied to get upper bounds on the rate of convergence of schemes based on Padé approximation and on Krylov-Padé approximation.

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Cited in

(9)

• Locally linearized Runge-Kutta method of Dormand and Prince for large systems of initial value problems
• An explicit numerical scheme for the computer simulation of the stochastic transport equation
• Efficient computation of phi-functions in exponential integrators
• Rate of convergence of local linearization schemes for initial-value problems
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Uses Software

• Expokit
• Expint

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