Mean-square convergence of stochastic multi-step methods with variable step-size
نویسندگان
چکیده
منابع مشابه
Mean-square Convergence of Stochastic Multi-step Methods with Variable Step-size
Abstract. We study mean-square consistency, stability in the mean-square sense and meansquare convergence of drift-implicit linear multi-step methods with variable step-size for the approximation of the solution of Itô stochastic differential equations. We obtain conditions that depend on the step-size ratios and that ensure mean-square convergence for the special case of adaptive two-step Maru...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2006.12.014