An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems

DOI10.1007/s00211-021-01233-4zbMath1491.65016OpenAlexW3207472838MaRDI QIDQ2055987

Fabian Merle, Andreas Prohl

Publication date: 1 December 2021

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-021-01233-4

zbMATH Keywords

stochastic differential equationsadaptive time-steppingweak error estimate

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)

Related Items (2)

A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems ⋮ Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments

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