Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
Solving ordinary differential equations I (2nd revised. ed.): nonstiff problems
High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
Applied Numerical Mathematics - Special issue celebrating the centenary of Runge-Kutta methods
Variable step size control in the numerical solution of stochastic differential equations
SIAM Journal on Applied Mathematics
Step size control in the numerical solution of stochastic differential equations
Journal of Computational and Applied Mathematics
Error estimation in Runge-Kutta procedures
Communications of the ACM
Weak Second Order Conditions for Stochastic Runge--Kutta Methods
SIAM Journal on Scientific Computing
Order Conditions of Stochastic Runge--Kutta Methods by B-Series
SIAM Journal on Numerical Analysis
A Variable Stepsize Implementation for Stochastic Differential Equations
SIAM Journal on Scientific Computing
An adaptive timestepping algorithm for stochastic differential equations
Journal of Computational and Applied Mathematics
SIAM Journal on Scientific Computing
A new adaptive Runge-Kutta method for stochastic differential equations
Journal of Computational and Applied Mathematics
On mean-square stability properties of a new adaptive stochastic Runge-Kutta method
Journal of Computational and Applied Mathematics
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In this paper, we propose two local error estimates based on drift and diffusion terms of the stochastic differential equations in order to determine the optimal step-size for the next stage in an adaptive variable step-size algorithm. These local error estimates are based on the weak approximation solution of stochastic differential equations with one-dimensional and multi-dimensional Wiener processes. Numerical experiments are presented to illustrate the effectiveness of this approach in the weak approximation of several standard test problems including SDEs with small noise and scalar and multi-dimensional Wiener processes.