Adaptive schemes for the numerical solution of SDEs -- a comparison

DOI10.1016/S0377-0427(01)00375-2zbMath0993.65011OpenAlexW2028572928MaRDI QIDQ5957933

Jürgen Lehn, Andreas Rößler, O. Schein

Publication date: 13 March 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(01)00375-2

zbMATH Keywords

algorithmsstochastic differential equationsadaptive methodsstep size controlEuler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

Related Items (9)

A new adaptive Runge-Kutta method for stochastic differential equations ⋮ An adaptive discretization algorithm for the weak approximation of stochastic differential equations ⋮ Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations ⋮ A Variable Step Size Riemannian Sum for an Itô Integral ⋮ An adaptive timestepping algorithm for stochastic differential equations. ⋮ Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise. ⋮ Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations ⋮ Runge-Kutta methods for Itô stochastic differential equations with scalar noise ⋮ Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

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• Optimal approximation of stochastic differential equations by adaptive step-size control
• Stochastic differential equations. An introduction with applications.
• The optimal discretization of stochastic differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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