Adaptive time-stepping for the strong numerical solution of stochastic differential equations (Q2340361): Difference between revisions

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Latest revision as of 23:48, 9 July 2024

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Adaptive time-stepping for the strong numerical solution of stochastic differential equations
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    Adaptive time-stepping for the strong numerical solution of stochastic differential equations (English)
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    16 April 2015
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    stochastic differential equations
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    adaptive time-stepping
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    PI control
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    Milstein method
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    strong numerical approximation
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    commutative noise
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    Richardson extrapolation
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    numerical test
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