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On Two-step Schemes for SDEs with Small Noise

  1. Evelyn Buckwar*,
  2. Renate Winkler†

Article first published online: 5 NOV 2004

DOI: 10.1002/pamm.200410004

Issue

PAMM

PAMM

Volume 4, Issue 1, pages 15–18, December 2004

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How to Cite

Buckwar, E. and Winkler, R. (2004), On Two-step Schemes for SDEs with Small Noise. Proc. Appl. Math. Mech., 4: 15–18. doi: 10.1002/pamm.200410004

Author Information

  1. Department of Mathematics, Humboldt Universität zu Berlin, Unter den Linden 6, 10099 Berlin

  1. †

    Phone: +49 30 2093 5448, Fax: +49 30 2093 5848

*Phone: +49 30 2093 5889, Fax: +49 30 2093 5848

Publication History

  1. Issue published online: 5 NOV 2004
  2. Article first published online: 5 NOV 2004

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Abstract

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)

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