Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise

DOI10.1137/030601429zbMath1111.65007OpenAlexW1987253195MaRDI QIDQ5470438

Werner Römisch, Renate Winkler

Publication date: 30 May 2006

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/98d61b5aa5b1b71c8033fc920aec9aee9b0e7997

zbMATH Keywords

numerical examplesstochastic differential equationsstepsize controlsmall noiseEuler schemesmean-square numerical 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) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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