A variable stepsize implementation for stochastic differential equations

SIAM Journal on Scientific Computing

Volumn 24, Issue 3, 2003, Pages 848-864

  Burrage, P M ^a   Burrage, K ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Embedding; Runge Kutta; SDEs; Variable stepsize

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; INITIAL VALUE PROBLEMS; INTEGRAL EQUATIONS; INTEGRATION; MATHEMATICAL PROGRAMMING; MATRIX ALGEBRA; NUMERICAL METHODS; PARAMETER ESTIMATION; RUNGE KUTTA METHODS;

BROWNIAN PATH; EMBEDDING METHOD; STOCHASTIC DIFFERENTIAL EQUATIONS; VARIABLE STEPSIZE METHOD;

ORDINARY DIFFERENTIAL EQUATIONS;

EID: 0038408630     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1064827500376922     Document Type: Article

References (13)

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