Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion

DOI10.1007/s11075-020-00990-xzbMath1465.65007OpenAlexW3048067854MaRDI QIDQ2028043

Avinash Malik

Publication date: 31 May 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00990-x

zbMATH Keywords

convergence analysisstochastic differential equationsstochastic hybrid systemsEuler-Maruyama schemenumerical integration algorithms

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic systems in control theory (general) (93E03) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Uses Software

• Simulink
• OpenModelica
• GitHub
• eha

Cites Work

• Unnamed Item
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• OUP accepted manuscript
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Hybrid Systems: Computation and Control
• Hybrid Systems: Computation and Control
• Stochastic integral

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