Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations

Burrage, Kevin, Burrage, Pamela, & Brugnano, L (2000) Adams-Type Methods for the Numerical Solution of Stochastic Ordinary Differential Equations. Bit (Lisse), 40(3), pp. 451-470.

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Abstract

Stochastic differential equations (SDEs) arise fi om physical systems where the parameters describing the system can only be estimated or are subject to noise. There has been much work done recently on developing numerical methods for solving SDEs. This paper will focus on stability issues and variable stepsize implementation techniques for numerically solving SDEs effectively. (C) 2000 Elsevier Science B.V. All rights reserved.

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ID Code: 57915
Item Type: Journal Article
Refereed: Yes
Keywords: stochastic ordinary differential equations , linear multistep formulae , additive noise , predictor-corrector approach
DOI: 10.1023/A:1022363612387
ISSN: 0006-3835
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
Divisions: Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: Copyright 2000 Springer Netherlands
Deposited On: 08 Mar 2013 06:34
Last Modified: 12 Apr 2013 00:56

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