Step size control for the uniform approximation of systems of stochastic differential equations with additive noise

Annals of Applied Probability

Volumn 10, Issue 2, 2000, Pages 616-633

  Hofmann, Norbert ^a   Müller Gronbach, Thomas ^b   Ritter, Klaus ^c  

^a UNIVERSITY OF ERLANGEN NUREMBERG   (Germany)

^b FREIE UNIVERSITÄT BERLIN   (Germany)

^c UNIVERSITY OF PASSAU   (Germany)

Author keywords

Adaption; Asymptotic optimality; Pathwise approximation; Step size control; Systems of stochastic differential equations

Indexed keywords

EID: 0039003955     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1019487358     Document Type: Review

References (11)

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