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2006-08-02Buch DOI: 10.18452/2730
Mean-square convergence of stochastic multi-step methods with variable step-size
dc.contributor.authorSickenberger, Thorsten
dc.date.accessioned2017-06-15T18:06:59Z
dc.date.available2017-06-15T18:06:59Z
dc.date.created2006-08-02
dc.date.issued2006-08-02
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3382
dc.description.abstractWe study mean-square consistency, stability in the mean-square sense and mean-square convergence of drift-implicit linear multi-step methods with variable step-size for the approximation of the solution of Ito stochastic differential equations. We obtain conditions that depend on the step-size ratios and that ensure mean-square convergence for the special case of adaptive two-step Maruyama schemes. Further, in the case of small noise we develop a local error analysis with respect to the h-ε approach and we construct some stochastic linear multi-step methods with variable step-size that have order 2 behavior if the noise is small enough.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectMean-square convergenceeng
dc.subjectStochastic linear multi-step methodseng
dc.subjectAdaptive methodseng
dc.subjectMean-square numerical stabilityeng
dc.subjectMean-square consistencyeng
dc.subjectSmall noiseeng
dc.subjectTwo-step Maruyama methodseng
dc.subject.ddc510 Mathematik
dc.titleMean-square convergence of stochastic multi-step methods with variable step-size
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10066812
dc.identifier.doihttp://dx.doi.org/10.18452/2730
dc.subject.dnb27 Mathematik
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue20
local.edoc.container-year2005
local.edoc.container-erstkatid2075199-0

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