A new adaptive Runge-Kutta method for stochastic differential equations

DOI10.1016/j.cam.2006.08.012zbMath1117.65008OpenAlexW2162051763MaRDI QIDQ2370676

Ali Foroush Bastani, Mohammed Hosseini Ali Abadi

Publication date: 29 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.08.012

zbMATH Keywords

numerical experimentsadaptive time-steppingforward-backward error estimation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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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