An adaptive discretization algorithm for the weak approximation of stochastic differential equations

DOI10.1002/PAMM.200410005zbMath1354.60079OpenAlexW1532533919MaRDI QIDQ2954562

Andreas Rößler

Publication date: 24 January 2017

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200410005

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

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 ⋮ A step size control algorithm for the weak approximation of stochastic differential equations ⋮ A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods

Cites Work

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• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Embedded Stochastic Runge-Kutta Methods
• Solving Ordinary Differential Equations I
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Adaptive schemes for the numerical solution of SDEs -- a comparison

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