Abstract
Strong Itô-Taylor schemes are adapted to RODEs with Itô noise to derive one-step numerical schemes for RODEs. These are then used to derive derivative-free explicit and implicit schemes and are applied to RODEs with affine noise. Multi-step schemes for RODEs are also derived.
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Han, X., Kloeden, P.E. (2017). Itô–Taylor Schemes for RODEs with Itô Noise. In: Random Ordinary Differential Equations and Their Numerical Solution. Probability Theory and Stochastic Modelling, vol 85. Springer, Singapore. https://doi.org/10.1007/978-981-10-6265-0_10
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DOI: https://doi.org/10.1007/978-981-10-6265-0_10
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Publisher Name: Springer, Singapore
Print ISBN: 978-981-10-6264-3
Online ISBN: 978-981-10-6265-0
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