An adaptive timestepping algorithm for stochastic differential equations.
DOI10.1016/j.cam.2003.05.001zbMath1037.65006MaRDI QIDQ1421207
Publication date: 26 January 2004
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2003.05.001
Wiener process; system; Milstein method; Stochastic differential equations; Numerical results; Error control; variable timestepping
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
65L05: Numerical methods for initial value problems involving ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
65L70: Error bounds for numerical methods for ordinary differential equations
65L50: Mesh generation, refinement, and adaptive methods for ordinary differential equations
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