Step size control in the numerical solution of stochastic differential equations (Q1298673)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Step size control in the numerical solution of stochastic differential equations |
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Step size control in the numerical solution of stochastic differential equations (English)
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13 January 2000
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The paper introduces variable step size discrete time numerical methods for the approximate solution of stochastic differential equations. The new algorithm uses a pair of embedded explicit Runge-Kutta type methods. Numerical results demonstrate the effectiveness of the step size control.
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numerical results
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variable step size
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stochastic differential equations
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algorithm
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Runge-Kutta type methods
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step size control
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