Second and Higher Order Ordinary Differential Equations

2018 ◽  
pp. 91-153
Author(s):  
Ali Ümit Keskin
Keyword(s):  
Differential Equations ◽  
Ordinary Differential Equations ◽  
Higher Order

Pathwise convergent higher order numerical schemes for random ordinary differential equations

2007 ◽  
Vol 463 (2087) ◽  
pp. 2929-2944 ◽  
Author(s):  
Peter E Kloeden ◽  
Arnulf Jentzen
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
Vector Field ◽  
Differential Equations ◽  
Ordinary Differential Equations ◽  
Higher Order ◽  
Time Variable ◽  
Numerical Schemes ◽  
Hölder Continuous ◽  
Usual Order

Random ordinary differential equations (RODEs) are ordinary differential equations (ODEs) with a stochastic process in their vector field. They can be analysed pathwise using deterministic calculus, but since the driving stochastic process is usually only Hölder continuous in time, the vector field is not differentiable in the time variable, so traditional numerical schemes for ODEs do not achieve their usual order of convergence when applied to RODEs. Nevertheless deterministic calculus can still be used to derive higher order numerical schemes for RODEs via integral versions of implicit Taylor-like expansions. The theory is developed systematically here and applied to illustrative examples involving Brownian motion and fractional Brownian motion as the driving processes.

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