Step size control in the numerical solution of stochastic differential equations
DOI10.1016/S0377-0427(98)00139-3zbMATH Open0928.65015MaRDI QIDQ1298673FDOQ1298673
Authors: Susanne Mauthner 
Publication date: 13 January 2000
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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numerical resultsalgorithmstochastic differential equationsvariable step sizestep size controlRunge-Kutta type methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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)
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Cited In (29)
- Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
- An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
- Adaptive time-stepping for the strong numerical solution of stochastic differential equations
- A new adaptive Runge-Kutta method for stochastic differential equations
- Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
- A Variable Stepsize Implementation for Stochastic Differential Equations
- Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise
- Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds
- A Variable Step Size Riemannian Sum for an Itô Integral
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- Improved linear multi-step methods for stochastic ordinary 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
- Efficient numerical solution of stochastic differential equations using exponential timestepping
- Title not available (Why is that?)
- Adaptive stepsize algorithms for Langevin dynamics
- The optimal discretization of stochastic differential equations
- Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
- Title not available (Why is that?)
- An adaptive timestepping algorithm for stochastic differential equations.
- Numerical analysis of explicit one-step methods for stochastic delay differential equations
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- Title not available (Why is that?)
- Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic 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
- Runge-Kutta methods for numerical solution of stochastic differential equations
- A step size control algorithm for the weak approximation of stochastic differential equations
- An adaptive discretization algorithm for the weak approximation of stochastic differential equations
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