A variable step-size control algorithm for the weak approximation of stochastic differential equations (Q607519)
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scientific article; zbMATH DE number 5818079
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A variable step-size control algorithm for the weak approximation of stochastic differential equations |
scientific article; zbMATH DE number 5818079 |
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A variable step-size control algorithm for the weak approximation of stochastic differential equations (English)
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22 November 2010
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stochastic differential equations
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scalar noise
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multi-dimensional Wiener process
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adaptive variable step-size algorithm
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weak approximation
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local error estimate
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numerical experiments
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