Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
type: Item
instance of: scholarly article
title: Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations
zbMATH Open document ID: 1385.37070
author: Cónall Kelly
author: Eeva Maria Rapoo
author: Alexandra Rodkina
published in: Journal of Computational and Applied Mathematics
publication date: 2018-01-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1706.03098
Mathematics Subject Classification ID: 37H10
Mathematics Subject Classification ID: 39A50
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6825417
zbMATH Keywords: adaptive timestepping
zbMATH Keywords: Euler-Maruyama method
zbMATH Keywords: locally Lipschitz coefficients
MaRDI profile type: Publication
OpenAlex ID: W2626308877
arXiv ID: 1706.03098
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DOI: 10.1016/J.CAM.2017.11.027
description: scientific article