# Adaptive timestepping strategies for nonlinear stochastic systems

@article{Kelly2016AdaptiveTS,
title={Adaptive timestepping strategies for nonlinear stochastic systems},
author={C{\'o}nall Kelly and Gabriel J. Lord},
journal={arXiv: Numerical Analysis},
year={2016}
}
• Published 13 October 2016
• Mathematics
• arXiv: Numerical Analysis
We introduce a class of adaptive timestepping strategies for stochastic differential equations with non-Lipschitz drift coefficients. These strategies work by controlling potential unbounded growth in solutions of a numerical scheme due to the drift. We prove that the Euler-Maruyama scheme with an adaptive timestepping strategy in this class is strongly convergent. Specific strategies falling into this class are presented and demonstrated on a selection of numerical test problems. We observe…
33 Citations

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