Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity

DOI10.1155/2014/852962zbMATH Open1298.65014OpenAlexW1967068999WikidataQ59047060 ScholiaQ59047060MaRDI QIDQ462415FDOQ462415

Authors: Harry Randolph Hughes, Pathiranage Lochana Siriwardena 

Publication date: 20 October 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/852962

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Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Stochastic differential equations. An introduction with applications.
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Continuous Markov processes and stochastic equations
• An adaptive timestepping algorithm for stochastic differential equations.
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• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise

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