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2005-11-03Buch DOI: 10.18452/2606
Stepsize control for mean-square numerical methods for stochastic differential equations with small noise
dc.contributor.authorRömisch, Werner
dc.contributor.authorWinkler, Renate
dc.date.accessioned2017-06-15T17:42:17Z
dc.date.available2017-06-15T17:42:17Z
dc.date.created2005-11-03
dc.date.issued2005-11-03
dc.identifier.issn0863-0976
dc.identifier.urihttp://edoc.hu-berlin.de/18452/3258
dc.description.abstractA strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the p-th mean of local errors. The strategy leads to deterministic stepsize sequences that are identical for all paths. For the family of Euler schemes for SDEs with small noise we derive computable estimates for the dominating term of the p-th mean of local errors and show that the strategy becomes efficient for reasonable stepsizes. Numerical experience is reported for test examples including scalar SDEs and a stochastic circuit model.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectStochastic differential and integral equationseng
dc.subjectComputational methodseng
dc.subject.ddc510 Mathematik
dc.titleStepsize control for mean-square numerical methods for stochastic differential equations with small noise
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10052400
dc.identifier.doihttp://dx.doi.org/10.18452/2606
local.edoc.container-titlePreprints aus dem Institut für Mathematik
local.edoc.pages21
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue8
local.edoc.container-year2003
local.edoc.container-erstkatid2075199-0

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