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

DOI10.1007/S11075-020-00990-XMaRDI QIDQ2028043zbMATH OpenOpenAlexFDO

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

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Cites work

• scientific article; zbMATH DE number 1444349 (Why is no real title available?)
• A Variable Stepsize Implementation for Stochastic Differential Equations
• A compositional modelling and analysis framework for stochastic hybrid systems
• A dynamic quantized state system execution framework for hybrid automata
• A simple construction of certain diffusion processes
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
• An adaptive timestepping algorithm for stochastic differential equations.
• Approximate model checking of stochastic hybrid systems
• Hybrid Systems: Computation and Control
• Hybrid Systems: Computation and Control
• Measurability and safety verification for stochastic hybrid systems
• On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
• Stochastic Hybrid Systems
• Stochastic hybrid systems: a powerful framework for complex, large scale applications
• Stochastic integral
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

Cited in

(2)

• Adaptive step-size selection for state-space probabilistic differential equation solvers
• Efficient simulation of general stochastic hybrid systems

Describes a project that uses

Uses Software

• eha
• GitHub
• OpenModelica
• Simulink

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