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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

Additional Information

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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References

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    P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations (Springer Verlag, Berlin, 1999).
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    J. Lehn, A. Rößler and O. Schein, Adaptive schemes for the numerical solution of SDEs - a comparison, J. Comput. Appl. Math. 138, No. 2, 297–308 (2002).
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    S. Mauthner, Schrittweitensteuerung bei der numerischen Lösung stochastischer Differentialgleichungen, Fortschr.-Ber. VDI Reihe 10 Nr. 578 (VDI Verlag, Düsseldorf, 1999).
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    A. Rößler, Embedded Stochastic Runge-Kutta Methods, Proc. Appl. Math. Mech. 2, 461–462 (2003).
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    A. Rößler, Runge-Kutta Methods for Stratonovich stochastic differential equation systems with commutative noise, J. Comput. Appl. Math. 164-165, 613–627 (2004).
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    A. Rößler, Runge-Kutta Methods for the Numerical Solution of Stochastic Differential Equations, Ph.D. thesis, Darmstadt University of Technology (Shaker Verlag, Aachen, 2003).
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