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

DOI10.3934/dcdsb.2017133zbMath1366.65005WikidataQ50531122 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 equations; adaptive methods; error estimate; strong approximation; rejection sampling; embedded algorithms; stochastic Runge-Kutta

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• sde

Cites Work

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