/RODEConvergence.jl

Package to check the order of convergence of numerical methods for solving random ordinary differential equations (RODEs or Random ODEs)

Primary LanguageJuliaMIT LicenseMIT

RODEConvergence.jl

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This is an unregistered package for testing the order of convergence of the Euler and Heun methods of approximating random ordinary differential equations (RODE or Random ODE) driven by semi-martingale noises. This package has been used for the numerical examples appearing in the paper "Strong order-one convergence of the Euler method for random ordinary differential equations driven by semi-martingale noises", by Peter E. Kloeden and Ricardo M. S. Rosa (see https://github.com/rmsrosa/rode_convergence_euler).