A step size control algorithm for the weak approximation of stochastic differential equations

Numerical Algorithms

Volumn 44, Issue 4, 2007, Pages 335-346

  Küpper, Dominique ^a   Lehn, Jürgen ^a   Rößler, Andreas ^a  

^a DARMSTADT UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Embedded Runge Kutta methods; Step size control; Stochastic differential equation; Weak approximation

Indexed keywords

EID: 36048979920     PISSN: 10171398     EISSN: 15729265     Source Type: Journal    
DOI: 10.1007/s11075-007-9108-0     Document Type: Article

References (18)

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