Rounding Error in Numerical Solution of Stochastic Differential Equations

DOI10.1081/SAP-120019286MaRDI QIDQ4799709zbMATH OpenFDO

Authors Armando Arciniega, Edward J. Allen

Publication date 25 March 2003

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Roundoff error (65G50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• Expansion of the global error for numerical schemes solving stochastic differential equations

Cited in

(8)

• Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations
• Numerical method for estimating the growth rate of the rounding error in uniform metric
• Truncation and round-off errors (Erreurs de troncature et d'arrondi)
• Rounding error using low precision approximate random variables
• Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems
• A quantitative probabilistic investigation into the accumulation of rounding errors in numerical ODE solution
• Stochastic rounding and reduced-precision fixed-point arithmetic for solving neural ordinary differential equations
• A posteriori error analysis of round-off errors in the numerical solution of ordinary differential equations

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