A variable step-size control algorithm for the weak approximation of stochastic differential equations

Abstract  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.

• Content Type Journal Article
• Category Original Paper
• DOI 10.1007/s11075-010-9363-3
• Authors
  
  
  • A. Valinejad, Tarbiat Modares University Department of Mathematics P.O. Box 14115-175 Tehran Iran
  • S. Mohammad Hosseini, Tarbiat Modares University Department of Mathematics P.O. Box 14115-175 Tehran Iran
  
  

• Journal Numerical Algorithms
• Online ISSN 1572-9265
• Print ISSN 1017-1398

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Original source : http://www.springerlink.com/content/640713pj561367...