Adaptive schemes for the numerical solution of SDEs -- a comparison

DOI10.1016/S0377-0427(01)00375-2zbMath0993.65011OpenAlexW2028572928MaRDI QIDQ5957933

Jürgen Lehn, Andreas Rößler, O. Schein

Publication date: 13 March 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(01)00375-2

zbMATH Keywords

algorithmsstochastic differential equationsadaptive methodsstep size controlEuler scheme

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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Cites Work

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