Adaptive stepsize based on control theory for stochastic differential equations

Journal of Computational and Applied Mathematics

Volumn 170, Issue 2-2, 2004, Pages 317-336

  Burrage, P M ^a   Herdiana, R ^a   Burrage, K ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

PI(D) control; Predictive control; Stochastic differential equations; Variable stepsize

Indexed keywords

DIFFERENTIAL EQUATIONS; NUMERICAL METHODS; RUNGE KUTTA METHODS; STOCHASTIC PROGRAMMING;

PROPORTIONAL INTEGRAL (PI) CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS (SDE);

CONTROL THEORY;

MATHEMATICAL ANALYSIS;

EID: 3042536076     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2004.01.027     Document Type: Article

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