Adaptive time-stepping strategies for nonlinear stochastic systems
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Publication:4555980
DOI10.1093/imanum/drx036zbMath1477.65023arXiv1610.04003OpenAlexW2962932197MaRDI QIDQ4555980
Publication date: 23 November 2018
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.04003
strong convergencestochastic differential equationsEuler-Maruyama methodadaptive time steppinglocally Lipschitz drift coefficient
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