An adaptive timestepping algorithm for stochastic differential equations.

DOI10.1016/J.CAM.2003.05.001zbMath1037.65006OpenAlexW1992080121MaRDI QIDQ1421207

D. Massart

Publication date: 26 January 2004

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

Full work available at URL: https://doi.org/10.1016/j.cam.2003.05.001

zbMATH Keywords

Wiener processsystemMilstein methodStochastic differential equationsNumerical resultsError controlvariable timestepping

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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