Multistep methods for SDES and their application to problems with small noise

SIAM Journal on Numerical Analysis

Volumn 44, Issue 2, 2006, Pages 779-803

  Buckwar, Evelyn ^a   Winkler, Renate ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Mean square consistency; Mean square convergence; Mean square numerical stability; Small noise; Stochastic linear multistep method; Two step Maruyama methods

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; PARAMETER ESTIMATION; PROBLEM SOLVING; STOCHASTIC MODELS;

MEAN SQUARE CONSISTENCY; MEAN SQUARE CONVERGENCE; MEAN SQUARE NUMERICAL STABILITY; SMALL NOISE; STOCHASTIC LINEAR MULTISTEP METHOD; TWO STEP MARUYAMA METHODS;

DIFFERENTIAL EQUATIONS;

EID: 33646386596     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/040602857     Document Type: Article

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