A variable step-size control algorithm for the weak approximation of stochastic differential equations

DOI10.1007/S11075-010-9363-3zbMath1203.65022OpenAlexW2084828851MaRDI QIDQ607519

Sumit K. Garg

Publication date: 22 November 2010

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

Full work available at URL: https://doi.org/10.1007/s11075-010-9363-3

zbMATH Keywords

numerical experimentsstochastic differential equationsweak approximationlocal error estimateadaptive variable step-size algorithmmulti-dimensional Wiener processscalar noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) 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)

Related Items (10)

Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments ⋮ Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations ⋮ On strong convergence of explicit numerical methods for stochastic delay differential equations under non-global Lipschitz conditions ⋮ Strong convergence of the stopped Euler-Maruyama method for nonlinear stochastic differential equations ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ The truncated Euler-Maruyama method for stochastic differential equations ⋮ Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise ⋮ On the stability of some second order numerical methods for weak approximation of Itô SDEs ⋮ A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods ⋮ Collocation methods for nonlinear stochastic Volterra integral equations

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