Pathwise approximation of random ordinary differential equations

BIT Numerical Mathematics

Volumn 41, Issue 4, 2001, Pages 711-721

  Grune L ^a   Kloeden, P E ^a  

^a GOETHE UNIVERSITY   (Germany)

Author keywords

Euler scheme; Heun scheme; Random ordinary differential equation; Time averaging

Indexed keywords

EID: 0042819717     PISSN: 00063835     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1021995918864     Document Type: Article

References (4)

1. L. Arnold, Random Dynamical Systems, Springer-Verlag, Heidelberg, 1998.
2. J. C. Butcher, The Numerical Analysis of Ordinary Differential Equations. Runge-Kutta and General Linear Methods, Wiley, Chichester, 1987.
3. E. Hairer, S. P. Norsett, and G. Wanner, Solving Ordinary Differential Equations I, Springer-Verlag, Heidelberg, 1988.
4. P. E. Kloeden and E. Platen. Numerical Solution of Stochastic Differential Equations, 3rd printing, Springer-Verlag, Heidelberg, 1999.