A variable step-size control algorithm for the weak approximation of stochastic differential equations
DOI10.1007/S11075-010-9363-3zbMath1203.65022OpenAlexW2084828851MaRDI QIDQ607519
Publication date: 22 November 2010
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-010-9363-3
numerical experimentsstochastic differential equationsweak approximationlocal error estimateadaptive variable step-size algorithmmulti-dimensional Wiener processscalar noise
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
Related Items (10)
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