Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
From MaRDI portal
Publication:6582398
DOI10.1007/s11075-023-01682-yzbMath1544.65026MaRDI QIDQ6582398
Publication date: 2 August 2024
Published in: Numerical Algorithms (Search for Journal in Brave)
stochastic differential equationsinformation-based complexityadaptive step-size controlasymptotically optimal algorithmminimal error boundscountably dimensional Wiener process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
This page was built for publication: Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
