A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
type: Item
instance of: scholarly article
title: A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
zbMATH Open document ID: 1260.65005
author: Xianqiang Yang
published in: Numerical Algorithms
publication date: 2012-11-27T00:00:00Z
review text: A variable stepsize control algorithm for the solution of ordinary stochastic differential equations (SDEs) with a small noise parameter \(\epsilon\) is presented and applied to some examples. For the optimal stepsize for each stage of the algorithm, an estimate of the global error is exploited, based on the local error of stochastic Runge-Kutta Maruyama (SRKM) methods. Variable step size algorithms based on stochastic Runge-Kutta methods were also presented by \textit{T. A. Averina} et al. [Bull. Novosib. Comput. Cent., Ser. Numer. Anal. 1995, No. 6, 9--27 (1995; Zbl 0906.65143)].
reviewed by: Henri Schurz
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L06
Mathematics Subject Classification ID: 65L70
Mathematics Subject Classification ID: 65L50
zbMATH DE Number: 6110507
zbMATH Keywords: stepsize control algorithm
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: small noise
zbMATH Keywords: adaptive stepsize
zbMATH Keywords: stochastic Runge-Kutta methods
zbMATH Keywords: error control
zbMATH Keywords: stochastic Runge-Kutta Maruyama methods
MaRDI profile type: Publication
full work available at URL: s11075-012-9544-3
OpenAlex ID: W2094775049
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DOI: 10.1007/S11075-012-9544-3
description: scientific article; zbMATH DE number 6110507