On the Convergence of LMF-type Methods for SODEs |
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| Authors: | Email author" target="_blank">Luigi?BrugnanoEmail author Giulia?Carreras Kevin?Burrage |
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| Institution: | (1) Dipartimento di Matematica  U. Dini , Università di Firenze, 50134 Firenze, Italy;(2) Department of Mathematics, University of Queensland, Brisbane, 4072, Australia |
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| Abstract: | In a previous paper 3], some numerical methods for stochastic ordinary differential equations (SODEs), based on Linear Multistep Formulae (LMF), were proposed. Nevertheless, a formal proof for the convergence of such methods is still lacking. We here provide such a proof, based on a matrix formulation of the discrete problem, which allows some more insight in the structure of LMF-type methods for SODEs. |
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| Keywords: | 65L05 65L06 65L99 |
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