A Variable Stepsize Implementation for Stochastic Differential Equations
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- Collocation methods for nonlinear stochastic Volterra integral equations
- Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion
- Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
- Efficient simulation of general stochastic hybrid systems
- On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions
- Adaptive step-size selection for state-space probabilistic differential equation solvers
- Numerical treatment of stochastic delay differential equations: a global error bound
- Adaptive time-stepping for the strong numerical solution of stochastic differential equations
- A decreasing step method for strongly oscillating stochastic models
- Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
- A new adaptive Runge-Kutta method for stochastic differential equations
- A step size control algorithm for the weak approximation of stochastic differential equations
- Mean-square convergence of stochastic multi-step methods with variable step-size
- Variable-stepsize Runge-Kutta methods for stochastic Schrödinger equations
- Mean-square stability properties of an adaptive time-stepping SDE solver
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- An adaptive discretization algorithm for the weak approximation of stochastic differential equations
- Adaptive time-stepping using control theory for the chemical Langevin equation
- A Variable Step Size Riemannian Sum for an Itô Integral
- Stochastic differential equation models of vortex merging and reconnection
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- A review of stochastic and delay simulation approaches in both time and space in computational cell biology
- Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity
- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
- The truncated Euler-Maruyama method for stochastic differential equations
- Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
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- Adaptive stepsize based on control theory for stochastic differential equations
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Adaptive stepsize algorithms for Langevin dynamics
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients
- Existence and uniqueness for the solutions of non-autonomous stochastic differential algebraic equations with locally Lipschitz coefficients
- An adaptive time-stepping scheme for a perturbed DDE driven by white noise
- Multi-step methods for random ODEs driven by Itô diffusions
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
- Stochastic simulation of chemical reactions in spatially complex media
- Adaptive stochastic numerical scheme in parallel random walk models for transport problems in shallow water
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