Improved linear multi-step methods for stochastic ordinary differential equations

Journal of Computational and Applied Mathematics

Volumn 205, Issue 2, 2007, Pages 912-922

  Buckwar, Evelyn ^a   Winkler, Renate ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Improved multi step methods; Mixed classical stochastic integrals; Small noise; Stochastic linear multi step methods

Indexed keywords

ADDITIVE NOISE; COMPUTER SIMULATION; INTEGRAL EQUATIONS; ORDINARY DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES;

IMPROVED MULTI-STEP METHODS; MIXED CLASSICAL-STOCHASTIC INTEGRALS; SMALL NOISE; STOCHASTIC LINEAR MULTI-STEP METHODS;

LINEAR EQUATIONS;

EID: 34248208111     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.03.038     Document Type: Article

References (13)

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