A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
stochastic differential equationserror controlstochastic Runge-Kutta methodssmall noiseadaptive stepsizestepsize control algorithmstochastic Runge-Kutta Maruyama methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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) Error bounds for numerical methods for ordinary differential equations (65L70)
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