scientific article; zbMATH DE number 1291152

MaRDI QIDQ4241271zbMATH OpenFDO

Authors Susanne Mauthner

Publication date 25 May 1999

zbMATH Keywords

simulationstochastic differential equationstep size control

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(9)

• Adaptive schemes for the numerical solution of SDEs -- a comparison
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Coefficients of Runge-Kutta Schemes for Itô Stochastic Differential Equations
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• scientific article; zbMATH DE number 2238086 (Why is no real title available?)
• Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise.
• Mean-square convergence of stochastic multi-step methods with variable step-size
• A step size control algorithm for the weak approximation of stochastic differential equations
• An adaptive discretization algorithm for the weak approximation of stochastic differential equations

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