A variable step-size control algorithm for the weak approximation of stochastic differential equations (Q607519): Difference between revisions

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Revision as of 11:46, 3 July 2024

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A variable step-size control algorithm for the weak approximation of stochastic differential equations
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    A variable step-size control algorithm for the weak approximation of stochastic differential equations (English)
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    22 November 2010
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    stochastic differential equations
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    scalar noise
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    multi-dimensional Wiener process
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    adaptive variable step-size algorithm
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    weak approximation
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    local error estimate
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    numerical experiments
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