A step size control algorithm for the weak approximation of stochastic differential equations
numerical resultsalgorithmstochastic differential equationerror estimatesweak approximationstep size controlembedded Runge-Kutta methods
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)
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- An adaptive discretization algorithm for the weak approximation of stochastic differential equations
- Step size control in the numerical solution of stochastic differential equations
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- A Variable Stepsize Implementation for Stochastic Differential Equations
- Adaptive weak approximation of stochastic differential equations
- An adaptive discretization algorithm for the weak approximation of stochastic differential equations
- An adaptive timestepping algorithm for stochastic differential equations.
- Numerical solution of SDE through computer experiments. Including floppy disk
- Order conditions of stochastic Runge--Kutta methods by B-series
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Solving Ordinary Differential Equations I
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
- 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
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- A decreasing step method for strongly oscillating stochastic models
- scientific article; zbMATH DE number 2238086 (Why is no real title available?)
- scientific article; zbMATH DE number 3921941 (Why is no real title available?)
- 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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