A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods (Q1762500)
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English | A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods |
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A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods (English)
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27 November 2012
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A variable stepsize control algorithm for the solution of ordinary stochastic differential equations (SDEs) with a small noise parameter \(\epsilon\) is presented and applied to some examples. For the optimal stepsize for each stage of the algorithm, an estimate of the global error is exploited, based on the local error of stochastic Runge-Kutta Maruyama (SRKM) methods. Variable step size algorithms based on stochastic Runge-Kutta methods were also presented by \textit{T. A. Averina} et al. [Bull. Novosib. Comput. Cent., Ser. Numer. Anal. 1995, No. 6, 9--27 (1995; Zbl 0906.65143)].
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stepsize control algorithm
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stochastic differential equations
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small noise
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adaptive stepsize
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stochastic Runge-Kutta methods
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error control
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stochastic Runge-Kutta Maruyama methods
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