Step size control in the numerical solution of stochastic differential equations (Q1298673)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Step size control in the numerical solution of stochastic differential equations |
scientific article; zbMATH DE number 1326447
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Step size control in the numerical solution of stochastic differential equations |
scientific article; zbMATH DE number 1326447 |
Statements
Step size control in the numerical solution of stochastic differential equations (English)
0 references
13 January 2000
0 references
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.
0 references
numerical results
0 references
variable step size
0 references
stochastic differential equations
0 references
algorithm
0 references
Runge-Kutta type methods
0 references
step size control
0 references
0 references
0 references
0.8845182657241821
0 references
0.8433704376220703
0 references
