Adaptive schemes for the numerical solution of SDEs: a comparison

Authors:
J. Lehn;A. Rößler;O. Schein
Affiliations:
Darmstadt University of Technology, Fachbereich Mathematik, Schlossgartenstrasse 7, D-64289 Darmstadt, Germany;Darmstadt University of Technology, Fachbereich Mathematik, Schlossgartenstrasse 7, D-64289 Darmstadt, Germany;Darmstadt University of Technology, Fachbereich Mathematik, Schlossgartenstrasse 7, D-64289 Darmstadt, Germany
Venue:
Journal of Computational and Applied Mathematics
Year:
2002

Citing 7
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Abstract

The efficient numerical solution of stochastic differential equations is important for applications in many fields. Adaptive schemes, well developed in the deterministic setting, may be one possible way to reduce computational cost. We review the two main step size control algorithms that have been proposed in recent years for stochastic differential systems and compare their efficiency in a simulation study.