𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

✍ Scribed by Gaines, J. G.; Lyons, T. J.

Book ID
118195177
Publisher
Society for Industrial and Applied Mathematics
Year
1997
Tongue
English
Weight
611 KB
Volume
57
Category
Article
ISSN
0036-1399

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Step size control in the numerical solut
Step size control in the numerical solution of stochastic differential equations
✍ Susanne Mauthner πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 749 KB

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

A variable order one-step scheme for num
A variable order one-step scheme for numerical solution of ordinary differential equations
✍ Simeon O. Fatunla πŸ“‚ Article πŸ“… 1978 πŸ› Elsevier Science 🌐 English βš– 543 KB

The author proposes some stable and convergent two-point integration formulae which are particularly well suited to systems of ordinary differential equations with oscillating solutions. The numerical integration algorithms are based on the representation of the theoretical solution by the perturbat