A Variable Stepsize Implementation for Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
A Variable Stepsize Implementation for Stochastic Differential Equations
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, the SDE being solved is stiff as this fo...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2003
ISSN: 1064-8275,1095-7197
DOI: 10.1137/s1064827500376922