Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
نویسندگان
چکیده
منابع مشابه
Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
Abstract. A strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the p-th mean of local errors. The strategy leads to stepsize sequences that are identical for all computed paths. For the family of Euler schemes for SDEs with small noise we derive computable estimates for the dominating term of the...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2006
ISSN: 1064-8275,1095-7197
DOI: 10.1137/030601429