Mean-square convergence of stochastic multi-step methods with variable step-size

Journal of Computational and Applied Mathematics

Volumn 212, Issue 2, 2008, Pages 300-319

  Sickenberger, Thorsten ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Adaptive methods; Mean square consistency; Mean square convergence; Mean square numerical stability; Small noise; Stochastic linear multi step methods; Two step Maruyama methods

Indexed keywords

APPROXIMATION THEORY; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS;

ADAPTIVE METHODS; MEAN SQUARE CONSISTENCY; MEAN SQUARE CONVERGENCE; STOCHASTIC DIFFERENTIAL EQUATIONS; TWO STEP MARUYAMA METHODS;

RANDOM PROCESSES;

EID: 37249089663     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2006.12.014     Document Type: Article

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