The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations

Author:

Horváth-Bokor Rózsa

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference19 articles.

1. Arnold, L.1974. Stochastic Differential Equations . Wiley & Sons, New York, NY.

2. Atkinson, K.E.1989. An Introduction to Numerical Analysis. 2nd ed. John Wiley & Sons, New York, NY.

3. Burrage, P.M.1999. Runge-Kutta Methods for Stochastic Differential Equations . Ph.D. thesis, The University of Queensland, Australia.

4. Brugnano, L., Burrage, K., and Burrage, P.M.2000. Adams-type methods for the numerical solutions of stochastic ordinary differential equations. BIT 40:451–470.[CSA]

5. Baker, C.T.H., and Buckwar, E.2000. Numerical analysis of explicit one-step methods for stochastic delay differential equations. LMS J. Comput. Math. 3:315–335.[CSA]

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