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Pathwise Approximation of Random Ordinary Differential Equations

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005489
URN to cite this document: urn:nbn:de:bvb:703-epub-5489-5

Title data

Grüne, Lars ; Kloeden, Peter E.:
Pathwise Approximation of Random Ordinary Differential Equations.
Bayreuth , 2001

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Abstract

Standard error estimates for one-step numerical schemes for nonautonomous ordinary differential equations usually assume appropriate smoothness in both time and state variables and thus are not suitable for the pathwise approximation of random ordinary differential equations which are typically at most continuous or Hölder continuous in the time variable. Here it is shown that the usual higher order of convergence can be retained if one first averages the time dependence over each discretization subinterval.

Further data

Item Type: Preprint, postprint
Additional notes (visible to public): erschienen In:
BIT Numerical Mathematics. Bd. 41 (September 2001) Heft 4 . - S. 711-721
Keywords: Euler method; Averaging method; Error reduction; Heun methods; Random ordinary differential equation
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5489-5
Date Deposited: 11 May 2021 11:43
Last Modified: 11 May 2021 11:44
URI: https://epub.uni-bayreuth.de/id/eprint/5489

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