Stable integration of stiff random ordinary differential equations

DOI10.1080/07362994.2013.759738MaRDI QIDQ4916958zbMATH OpenOpenAlexFDO

Authors Yusuke Asai, Eva Herrmann, Peter E. Kloeden

Publication date 26 April 2013

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

Full work available at URL https://doi.org/10.1080/07362994.2013.759738

zbMATH Keywords

B-stabilityexplicit and implicit averaged Euler schemesimplicit averaged midpoint schemesone-step numerical schemespathwise convergencerandom ordinary differential equations

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Random operators and equations (aspects of stochastic analysis) (60H25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

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Cites work

• scientific article; zbMATH DE number 50395 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 979834 (Why is no real title available?)
• scientific article; zbMATH DE number 1748716 (Why is no real title available?)
• Pathwise approximation of random ordinary differential equations
• Pathwise convergent higher order numerical schemes for random ordinary differential equations
• Pathwise Taylor schemes for random ordinary differential equations
• Taylor approximations for stochastic partial differential equations
• The conjugacy of stochastic and random differential equations and the existence of global attractors
• The local linearization method for numerical integration of random differential equations
• The persistence of synchronization under environmental noise

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