A Variable Stepsize Implementation for Stochastic Differential Equations
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Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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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- Numerical treatment of stochastic delay differential equations: a global error bound
- Stochastic simulation of chemical reactions in spatially complex media
- Adaptive stochastic numerical scheme in parallel random walk models for transport problems in shallow water
- Adaptive time-stepping for the strong numerical solution of stochastic differential equations
- Mean-square stability properties of an adaptive time-stepping SDE solver
- A new adaptive Runge-Kutta method for stochastic differential equations
- Collocation methods for nonlinear stochastic Volterra integral equations
- Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion
- Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- Multi-step methods for random ODEs driven by Itô diffusions
- Numerical solutions of stochastic differential equations -- implementation and stability issues
- Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity
- The truncated Euler-Maruyama method for stochastic differential equations
- A Variable Step Size Riemannian Sum for an Itô Integral
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- Adaptive stepsize based on control theory for stochastic differential equations
- Adaptive time-stepping using control theory for the chemical Langevin equation
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- A decreasing step method for strongly oscillating stochastic models
- Almost sure stability of stochastic theta methods with random variable stepsize for stochastic differential equations
- Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations
- Adaptive stepsize algorithms for Langevin dynamics
- Adaptive step-size selection for state-space probabilistic differential equation solvers
- Stochastic differential equation models of vortex merging and reconnection
- Adaptive Euler methods for stochastic systems with non-globally Lipschitz coefficients
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
- scientific article; zbMATH DE number 7485185 (Why is no real title available?)
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Efficient simulation of general stochastic hybrid systems
- Mean-square convergence of stochastic multi-step methods with variable step-size
- A step size control algorithm for the weak approximation of stochastic differential equations
- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
- An adaptive discretization algorithm for the weak approximation of stochastic differential equations
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