Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

DOI10.1137/S0036139995286515zbMATH Open0888.60046OpenAlexW2019795760MaRDI QIDQ4377355FDOQ4377355

Authors: J. G. Gaines, Terence J. Lyons 

Publication date: 9 February 1998

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036139995286515

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zbMATH Keywords

numerical approximationstochastic differential equationsdiscretization schemesBrownian pathsLévy areas

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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• Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
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• Numerical analysis of explicit one-step methods for stochastic delay differential equations
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• Mean-square convergence of stochastic multi-step methods with variable step-size
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