Optimal approximation of stochastic differential equations by adaptive step-size control
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adaptive step-size controldriving Wiener processerror boundEuler schemestochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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