A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
DOI10.1007/S11075-012-9544-3zbMATH Open1260.65005OpenAlexW2094775049MaRDI QIDQ1762500FDOQ1762500
Authors: Xianqiang Yang 
Publication date: 27 November 2012
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-012-9544-3
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- scientific article; zbMATH DE number 3921941
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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Cited In (4)
- Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- A step size control algorithm for the weak approximation of stochastic differential equations
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