Pathwise convergent higher order numerical schemes for random ordinary differential equations

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 463, Issue 2087, 2007, Pages 2929-2944

  Kloeden, Peter E ^a   Jentzen, Arnulf ^a  

^a GOETHE UNIVERSITY   (Germany)

Author keywords

Brownian motion; Fractional Brownian motion; One step numerical scheme; Pathwise convergence; Random ordinary differential equations; Taylor like expansion

Indexed keywords

EID: 36348939995     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2007.0055     Document Type: Article

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