A Variable Stepsize Implementation for Stochastic Differential Equations
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Publication:4785949
DOI10.1137/S1064827500376922zbMath1034.65003MaRDI QIDQ4785949
Kevin Burrage, Pamela M. Burrage
Publication date: 5 January 2003
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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