Mean-square convergence of stochastic multi-step methods with variable step-size
dc.contributor.author | Sickenberger, Thorsten | |
dc.date.accessioned | 2017-06-15T18:06:59Z | |
dc.date.available | 2017-06-15T18:06:59Z | |
dc.date.created | 2006-08-02 | |
dc.date.issued | 2006-08-02 | |
dc.identifier.issn | 0863-0976 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/3382 | |
dc.description.abstract | We 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.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Mean-square convergence | eng |
dc.subject | Stochastic linear multi-step methods | eng |
dc.subject | Adaptive methods | eng |
dc.subject | Mean-square numerical stability | eng |
dc.subject | Mean-square consistency | eng |
dc.subject | Small noise | eng |
dc.subject | Two-step Maruyama methods | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | Mean-square convergence of stochastic multi-step methods with variable step-size | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10066812 | |
dc.identifier.doi | http://dx.doi.org/10.18452/2730 | |
dc.subject.dnb | 27 Mathematik | |
local.edoc.pages | 18 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2005 | |
dc.identifier.zdb | 2075199-0 | |
bua.series.name | Preprints aus dem Institut für Mathematik | |
bua.series.issuenumber | 2005,20 |