Numerical solutions of stochastic differential equations -- implementation and stability issues
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Publication:1841953
DOI10.1016/S0377-0427(00)00467-2zbMath0971.65003MaRDI QIDQ1841953
Taketomo Mitsui, Pamela M. Burrage, Kevin Burrage
Publication date: 6 November 2001
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
stabilitystochastic differential equationserror boundStratonovich equationvariable stepsize stochastic Runge-Kutta method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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