Improved linear multi-step methods for stochastic ordinary differential equations
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: Journal of Computational and Applied Mathematics
سال: 2007
ISSN: 0377-0427
DOI: 10.1016/j.cam.2006.03.038