Step size control in the numerical solution of stochastic differential equations

DOI10.1016/S0377-0427(98)00139-3MaRDI QIDQ1298673zbMATH OpenFDO

Authors Susanne Mauthner

Publication date 13 January 2000

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

Full work available at URL https://doi.org/10.1016/S0377-0427(98)00139-3

zbMATH Keywords

algorithmnumerical resultsRunge-Kutta type methodsstep size controlstochastic differential equationsvariable step size

Mathematics Subject Classification ID

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

Review text

The paper introduces variable step size discrete time numerical methods for the approximate solution of stochastic differential equations. The new algorithm uses a pair of embedded explicit Runge-Kutta type methods. Numerical results demonstrate the effectiveness of the step size control.

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Cited in

(32)

• Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
• An adaptive timestepping algorithm for stochastic differential equations.
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
• A new adaptive Runge-Kutta method for stochastic differential equations
• A step size control algorithm for the weak approximation of stochastic differential equations
• Numerical analysis of explicit one-step methods for stochastic delay differential equations
• An adaptive discretization algorithm for the weak approximation of stochastic differential equations
• A Variable Step Size Riemannian Sum for an Itô Integral
• scientific article; zbMATH DE number 3921941 (Why is no real title available?)
• scientific article; zbMATH DE number 1291152 (Why is no real title available?)
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• scientific article; zbMATH DE number 1923133 (Why is no real title available?)
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
• scientific article; zbMATH DE number 2238086 (Why is no real title available?)
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• The optimal discretization of stochastic differential equations
• Runge-Kutta methods for numerical solution of stochastic differential equations
• Adaptive stepsize based on control theory for stochastic differential equations
• Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
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