A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods

DOI10.1007/s11075-012-9544-3zbMath1260.65005MaRDI QIDQ1762500

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

zbMATH Keywords

stochastic differential equations; error control; stochastic Runge-Kutta methods; small noise; adaptive stepsize; stepsize control algorithm; stochastic Runge-Kutta Maruyama methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65L06: Multistep, Runge-Kutta and extrapolation methods for 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