Skip to main content
BJPS

Main navigation

  • Home
User account menu
  • Log in

Breadcrumb

  1. Home

Pathwise error

Adams-Type Formulae for the treatment of Initial Value Problems (IVPs) in Stiff Stochastic Ordinary Differential Equations (SODEs)

Stochastic Ordinary Differential Equations (SODEs) are often insoluble via the use of analytic techniques due to randomness that characterize SODEs. Stiffness in SODEs introduces complexity in that numerical method for approximating the solution of stiff SODEs are required to be A-stable, a stringent condition that is attainable by implicit method only. This article presents a class of A-stable methods, that derived via the use of Ito Taylor expansion, Taylor series expansion and method of undetermined coefficients.

Pathwise error
RSS feed
Powered by Drupal