A step size control algorithm for the weak approximation of stochastic differential equations (Q2454747)
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scientific article; zbMATH DE number 5201275
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| English | A step size control algorithm for the weak approximation of stochastic differential equations |
scientific article; zbMATH DE number 5201275 |
Statements
A step size control algorithm for the weak approximation of stochastic differential equations (English)
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16 October 2007
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stochastic differential equation
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step size control
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embedded Runge-Kutta methods
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weak approximation
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error estimates
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algorithm
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numerical results
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0.9376386404037476
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0.9066192507743835
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0.8845182657241821
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