Stepsize control for mean-square numerical methods for stochastic differential equations with small noise

SIAM Journal on Scientific Computing

Volumn 28, Issue 2, 2006, Pages 604-625

  Römisch, Werner ^a   Winkler, Renate ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Mean square numerical methods; Small noise; Stepsize control; Stochastic differential equations

Indexed keywords

CONTROL THEORY; MATHEMATICAL MODELS; MEAN SQUARE ERROR; NUMERICAL METHODS; RANDOM PROCESSES;

MEAN-SQUARE NUMERICAL METHODS; SMALL NOISE; STEPSIZE CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 33947241405     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/030601429     Document Type: Article

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