An adaptive timestepping algorithm for stochastic differential equations. (Q1421207)
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scientific article; zbMATH DE number 2032604
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An adaptive timestepping algorithm for stochastic differential equations. |
scientific article; zbMATH DE number 2032604 |
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An adaptive timestepping algorithm for stochastic differential equations. (English)
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26 January 2004
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Error control
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Numerical results
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variable timestepping
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system
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Wiener process
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Milstein method
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Stochastic differential equations
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