A variable step-size control algorithm for the weak approximation of stochastic differential equations
โ Scribed by A. Valinejad; S. Mohammad Hosseini
- Publisher
- Springer US
- Year
- 2010
- Tongue
- English
- Weight
- 689 KB
- Volume
- 55
- Category
- Article
- ISSN
- 1017-1398
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๐ SIMILAR VOLUMES
We introduce a variable step size algorithm for the pathwise numerical approximation of solutions to stochastic ordinary differential equations. The algorithm is based on a new pair of embedded explicit Runge-Kutta methods of strong order 1.5(1.0), where the method of strong order 1.5 advances the n
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