Step size control in the numerical solution of stochastic differential equations

DOI10.1016/S0377-0427(98)00139-3zbMath0928.65015MaRDI QIDQ1298673

Susanne Mauthner

Publication date: 13 January 2000

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

zbMATH Keywords

algorithmnumerical resultsstochastic differential equationsstep size controlRunge-Kutta type methodsvariable step size

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) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

Related Items (20)

Step size control for the uniform approximation of systems of stochastic differential equations with additive noise. ⋮ A new adaptive Runge-Kutta method for stochastic differential equations ⋮ Adaptive stepsize based on control theory for stochastic differential equations ⋮ A variable step-size control algorithm for the weak approximation of stochastic differential equations ⋮ Improved linear multi-step methods for stochastic ordinary differential equations ⋮ Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds ⋮ Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift ⋮ Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients ⋮ A Variable Step Size Riemannian Sum for an Itô Integral ⋮ An adaptive timestepping algorithm for stochastic differential equations. ⋮ Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations ⋮ Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations ⋮ A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods ⋮ The optimal discretization of stochastic differential equations ⋮ Runge-Kutta methods for numerical solution of stochastic differential equations ⋮ Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise ⋮ Adaptive time-stepping for the strong numerical solution of stochastic differential equations ⋮ An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations

Uses Software

• RKF45

Cites Work

• A PI stepsize control for the numerical solution of ordinary differential equations
• The art of writing a Runge-Kutta code. II
• Stratonovich and Ito Stochastic Taylor Expansions
• Numerical Treatment of Stochastic Differential Equations
• Inversive Congruential Pseudorandom Numbers: A Tutorial
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Coefficients for the study of Runge-Kutta integration processes
• On Runge-Kutta processes of high order
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Step size control in the numerical solution of stochastic differential equations