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

DOI10.1007/S11075-007-9108-0MaRDI QIDQ2454747zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

algorithmembedded Runge-Kutta methodserror estimatesnumerical resultsstep size controlstochastic differential equationweak approximation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) 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) 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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Cites work

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Cited in

(15)

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• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Tamed Runge-Kutta methods for SDEs with super-linearly growing drift and diffusion coefficients
• A decreasing step method for strongly oscillating stochastic models
• An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
• An adaptive discretization algorithm for the weak approximation of stochastic differential equations
• scientific article; zbMATH DE number 3921941 (Why is no real title available?)
• scientific article; zbMATH DE number 1291152 (Why is no real title available?)
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
• scientific article; zbMATH DE number 2238086 (Why is no real title available?)
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• 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

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