Step size control in the numerical solution of stochastic differential equations

DOI10.1016/S0377-0427(98)00139-3zbMath0928.65015MaRDI QIDQ1298673

Susanne Mauthner

Publication date: 13 January 2000

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmnumerical resultsstochastic differential equationsstep size controlRunge-Kutta type methodsvariable step size

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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Step size control for the uniform approximation of systems of stochastic differential equations with additive noise., A new adaptive Runge-Kutta method for stochastic differential equations, Adaptive stepsize based on control theory for stochastic differential equations, A variable step-size control algorithm for the weak approximation of stochastic differential equations, Improved linear multi-step methods for stochastic ordinary differential equations, Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds, Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift, Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients, A Variable Step Size Riemannian Sum for an Itô Integral, An adaptive timestepping algorithm for stochastic differential equations., Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations, Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations, A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods, The optimal discretization of stochastic differential equations, Runge-Kutta methods for numerical solution of stochastic differential equations, Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise, Adaptive time-stepping for the strong numerical solution of stochastic differential equations, An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations

Uses Software

• RKF45

Cites Work

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