Step size control in the numerical solution of stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 100, Issue 1, 1998, Pages 93-109

  Mauthner, Susanne ^a  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Runge Kutta methods; Step size control; Stochastic differential equations

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTATIONAL METHODS; PROBLEM SOLVING; RANDOM PROCESSES;

PATHWISE NUMERICAL APPROXIMATION; RUNGE-KUTTA METHODS; STEP SIZE CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 0032202905     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-0427(98)00139-3     Document Type: Article

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