Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
adaptive methodsinitial value problemslocal error estimationmean-square methodsnumerical experimentsstep-size controlstochastic differential equationsstochastic differential-algebraic equations
Implicit ordinary differential equations, differential-algebraic equations (34A09) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70) Numerical methods for differential-algebraic equations (65L80)
- Local error estimates for moderately smooth problems. I: ODEs and DAEs
- Multistep methods for SDEs and their application to problems with small noise
- On error estimation in general linear methods for stiff ODEs
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- Simulation of stochastic differential equations
- A new numerical method for SDEs and its application in circuit simulation
- A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
- A Variable Stepsize Implementation for Stochastic Differential Equations
- Adaptive Methods for Transient Noise Analysis
- An adaptive timestepping algorithm for stochastic differential equations.
- An algorithmic introduction to numerical simulation of stochastic differential equations
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- Local error estimates for moderately smooth problems. I: ODEs and DAEs
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- Modelling and simulation of transient noise in circuit simulation
- Multistep methods for SDEs and their application to problems with small noise
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- Optimal approximation of stochastic differential equations by adaptive step-size control
- Step size control in the numerical solution of stochastic differential equations
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
- Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations
- Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- Fixed-point smoothing of scalar diffusions. II: The error of the optimal smoother
- A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
- Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
- Local error estimates for moderately smooth problems. I: ODEs and DAEs
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