A variable step-size control algorithm for the weak approximation of stochastic differential equations
type: Item
instance of: scholarly article
title: A variable step-size control algorithm for the weak approximation of stochastic differential equations
zbMATH Open document ID: 1203.65022
author: Sumit K. Garg
published in: Numerical Algorithms
publication date: 2010-11-22T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L70
Mathematics Subject Classification ID: 65L50
Mathematics Subject Classification ID: 65L05
zbMATH DE Number: 5818079
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: scalar noise
zbMATH Keywords: multi-dimensional Wiener process
zbMATH Keywords: adaptive variable step-size algorithm
zbMATH Keywords: weak approximation
zbMATH Keywords: local error estimate
zbMATH Keywords: numerical experiments
MaRDI profile type: Publication
full work available at URL: s11075-010-9363-3
OpenAlex ID: W2084828851
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DOI: 10.1007/S11075-010-9363-3
description: scientific article; zbMATH DE number 5818079