A step size control algorithm for the weak approximation of stochastic differential equations

DOI10.1007/S11075-007-9108-0zbMATH Open1124.65010OpenAlexW2076005322WikidataQ126238430 ScholiaQ126238430MaRDI QIDQ2454747FDOQ2454747

Authors: Dominique Küpper, Andreas Rößler, J. Lehn 

Publication date: 16 October 2007

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

Full work available at URL: https://doi.org/10.1007/s11075-007-9108-0

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zbMATH Keywords

numerical resultsalgorithmstochastic differential equationerror estimatesweak approximationstep size controlembedded Runge-Kutta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50) Error bounds for numerical methods for ordinary differential equations (65L70)

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Cited In (12)

• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
• A decreasing step method for strongly oscillating stochastic models
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
• An adaptive discretization algorithm for the weak approximation of stochastic differential equations

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