A Variable Stepsize Implementation for Stochastic Differential Equations

Abstract

Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge–Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example… (More)
DOI: 10.1137/S1064827500376922

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Cite this paper

@article{Burrage2003AVS, title={A Variable Stepsize Implementation for Stochastic Differential Equations}, author={Pamela M. Burrage and Kevin Burrage}, journal={SIAM J. Scientific Computing}, year={2003}, volume={24}, pages={848-864} }