Local error estimates for moderately smooth problems. II: SDEs and SDAEs with small noise

DOI10.1007/s10543-009-0209-0zbMath1170.65005OpenAlexW2023064562MaRDI QIDQ1014901

Thorsten Sickenberger, Renate Winkler, Ewa B. Weinmüller

Publication date: 29 April 2009

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-009-0209-0

zbMATH Keywords

numerical experimentsstochastic differential equationsinitial value problemsadaptive methodslocal error estimationstep-size controlstochastic differential-algebraic equationsmean-square methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Implicit ordinary differential equations, differential-algebraic equations (34A09) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) 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) Numerical methods for differential-algebraic equations (65L80)

Related Items (4)

A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stability analysis of high order Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential algebraic equations

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