A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods

DOI10.1007/s11075-012-9544-3zbMath1260.65005OpenAlexW2094775049MaRDI QIDQ1762500

Xianqiang Yang

Publication date: 27 November 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-012-9544-3

zbMATH Keywords

stochastic differential equationserror controlstochastic Runge-Kutta methodssmall noiseadaptive stepsizestepsize control algorithmstochastic Runge-Kutta Maruyama methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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)

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