Optimal approximation of stochastic differential equations by adaptive step-size control
DOI10.1090/S0025-5718-99-01177-1zbMath0948.65002MaRDI QIDQ4955859
Thomas Müller-Gronbach, Norbert Hofmann, Klaus Ritter
Publication date: 22 May 2000
Published in: Mathematics of Computation (Search for Journal in Brave)
stochastic differential equationserror boundEuler schemeadaptive step-size controldriving Wiener process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
Related Items (27)
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