Multi-step methods for random ODEs driven by Itô diffusions
نویسندگان
چکیده
منابع مشابه
Theory and Methods for One -step Odes
where f is continuous and outputs an Rd vector. approximation on grid functions Let y(t) be the true solution. LetH be the grid dened by step-sizes: h1 , . . . , hN such that 0 < t1 < . . . < tN satises t i = ∑ l=1 h i .1 Let ∣H∣ = maxi h i . 1 is is just the obvious grid where h i = t i − t i−1 . We are parameterizing it by the step-sizes h i instead of times because h is what shows up in th...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2016
ISSN: 0377-0427
DOI: 10.1016/j.cam.2015.08.019