Step size control for the uniform approximation of systems of stochastic differential equations with additive noise. (Q1884833)

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Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
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    Step size control for the uniform approximation of systems of stochastic differential equations with additive noise. (English)
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    27 October 2004
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    error bounds
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    numerical examples
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    systems of stochastic differential equations
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    pathwise approximation
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    adaption
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    step-size control
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    asymptotic optimality
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