An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
نویسندگان
چکیده
منابع مشابه
An Adaptive Euler-maruyama Scheme for Sdes: Convergence and Stability
Abstract. The understanding of adaptive algorithms for SDEs is an open area where many issues related to both convergence and stability (long time behaviour) of algorithms are unresolved. This paper considers a very simple adaptive algorithm, based on controlling only the drift component of a time-step. Both convergence and stability are studied. The primary issue in the convergence analysis is...
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ژورنال
عنوان ژورنال: IMA Journal of Numerical Analysis
سال: 2006
ISSN: 0272-4979,1464-3642
DOI: 10.1093/imanum/drl032