Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity

DOI10.1155/2014/852962zbMath1298.65014OpenAlexW1967068999WikidataQ59047060 ScholiaQ59047060MaRDI QIDQ462415

Harry Randolph Hughes, Pathiranage Lochana Siriwardena

Publication date: 20 October 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/852962

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An adaptive timestepping algorithm for stochastic differential equations.
• Continuous Markov processes and stochastic equations
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• A Variable Stepsize Implementation for Stochastic Differential Equations
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Efficient variable step size approximations for strong solutions of stochastic differential equations with additive noise and time singularity