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A VARIABLE STEPSIZE IMPLEMENTATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS.

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Title: A VARIABLE STEPSIZE IMPLEMENTATION FOR STOCHASTIC DIFFERENTIAL EQUATIONS.
Authors: Burrage, P.M., Burrage, K.
Source: SIAM Journal on Scientific Computing. 2002, Vol. 24 Issue 3, p848. 17p.
Subjects: Stochastic differential equations, Runge-Kutta formulas
Abstract: Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge-Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path. [ABSTRACT FROM AUTHOR]
Copyright of SIAM Journal on Scientific Computing is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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  Data: Stochastic differential equations (SDEs) arise from physical systems where the parameters describing the system can only be estimated or are subject to noise. Much work has been done recently on developing higher order Runge-Kutta methods for solving SDEs numerically. Fixed stepsize implementations of numerical methods have limitations when, for example, the SDE being solved is stiff as this forces the stepsize to be very small. This paper presents a completely general variable stepsize implementation of an embedded Runge-Kutta pair for solving SDEs numerically; in this implementation, there is no restriction on the value used for the stepsize, and it is demonstrated that the integration remains on the correct Brownian path. [ABSTRACT FROM AUTHOR]
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  Data: <i>Copyright of SIAM Journal on Scientific Computing is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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