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

DOI10.1155/2014/852962MaRDI QIDQ462415zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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

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

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