On the numerical schemes for Langevin-type equations
2020 ◽
Vol 99
(3)
◽
pp. 62-74
Keyword(s):
In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.
Keyword(s):
2003 ◽
Vol 3
◽
pp. 297-307
Keyword(s):
1986 ◽
Vol 52
(474)
◽
pp. 672-677
Keyword(s):
2003 ◽
Vol 155
(1)
◽
pp. 21-30
◽
Keyword(s):