论文信息 - On Two-step Schemes for SDEs with Small Noise

On Two-step Schemes for SDEs with Small Noise

We consider linear multi-step methods for stochastic differential equations and present a theorem ensuring their numerical stability and strong convergence. We use this to study the properties of two-step schemes for stochastic differential equations with small noise. (© 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)

Evelyn Buckwar | Renate Winkler

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