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An adaptive discretization algorithm for the weak approximation of stochastic differential equations

  1. Andreas Rößler*

Article first published online: 5 NOV 2004

DOI: 10.1002/pamm.200410005

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PAMM

PAMM

Volume 4, Issue 1, pages 19–22, December 2004

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How to Cite

Rößler, A. (2004), An adaptive discretization algorithm for the weak approximation of stochastic differential equations. Proc. Appl. Math. Mech., 4: 19–22. doi: 10.1002/pamm.200410005

Author Information

  1. Darmstadt University of Technology, Fachbereich Mathematik, Schlossgartenstrasse 7, D-64289 Darmstadt, Germany

*Phone: +49 6151 16 2789, Fax: +49 6151 16 6822

Publication History

  1. Issue published online: 5 NOV 2004
  2. Article first published online: 5 NOV 2004

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Abstract

Numerical methods with fixed step size have limitations if they are applied for example to stiff stochastic differential equations where the step size is forced to be very small. In this paper, an adaptive step size control algorithm for the weak approximation of stochastic differential equations is introduced. The proposed algorithm calculates an estimation of the local error in order to determine the optimal step size such that the local error is bounded by some given tolerances. (© 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)

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