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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

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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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References

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    C. T. H. Baker and E. Buckwar, Numerical analysis of explicit one-step methods for stochastic delay differential equations, LMS J. Comput. Math. 3, 315–335 (2000).
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    E. Buckwar and R. Winkler, Multi-step methods for SDEs and their application to problems with small noise, Preprint 2003-17, Humboldt University Berlin (2003).
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    G. N. Milstein, Numerical integration of stochastic differential equations (Kluwer Academic Publishers Group, Dordrecht, 1995).
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    G. N. Milstein and M. V. Tretyakov, Mean-square numerical methods for stochastic differential equations with small noise, SIAM J. Sci. Comput. 18, 1067–1087 (1997).
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    R. Winkler, Stochastic differential algebraic equations of index 1 and applications in circuit simulation, J. Comput. Appl. Math. 157(2), 477–505 (2003).
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