Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory

DOI10.3934/DCDSB.2017133zbMath1366.65005OpenAlexW2607757577WikidataQ50531122 ScholiaQ50531122MaRDI QIDQ2356881

Qing Nie, Christopher Rackauckas

Publication date: 7 June 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2017133

zbMATH Keywords

stochastic differential equationsadaptive methodserror estimatestrong approximationrejection samplingembedded algorithmsstochastic Runge-Kutta

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)

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Uses Software

• sde

Cites Work

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