Improved linear multi-step methods for small noise SDEs
نویسندگان
چکیده
منابع مشابه
Improved linear multi-step methods for stochastic ordinary differential equations
We consider linear multi-step methods for stochastic ordinary differential equations and study their convergence properties for problems with small noise or additive noise. We present schemes where the drift part is approximated by well-known methods for deterministic ordinary differential equations. Previously, we considered Maruyama-type schemes, where only the increments of the driving Wiene...
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ژورنال
عنوان ژورنال: PAMM
سال: 2006
ISSN: 1617-7061,1617-7061
DOI: 10.1002/pamm.200610311