Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
DOI10.3934/dcdsb.2017133zbMath1366.65005WikidataQ50531122 ScholiaQ50531122MaRDI QIDQ2356881
Qing Nie, Christopher Rackauckas
Publication date: 7 June 2017
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2017133
stochastic differential equations; adaptive methods; error estimate; strong approximation; rejection sampling; embedded algorithms; stochastic Runge-Kutta
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
Uses Software