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- W1987253195 abstract "A strategy for controlling the stepsize in the numerical integration of stochastic differential equations (SDEs) is presented. It is based on estimating the pth mean of local errors. The strategy leads to stepsize sequences that are identical for all computed paths. For the family of Euler schemes for SDEs with small noise, we derive computable estimates for the dominating term of the pth 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." @default.
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- W1987253195 date "2006-01-01" @default.
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- W1987253195 title "Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise" @default.
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- W1987253195 doi "https://doi.org/10.1137/030601429" @default.
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