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Optimal approximation of stochastic differential equations by adaptive step-size control.

Norbert HofmannThomas Müller-GronbachKlaus Ritter
Published in: Math. Comput. (2000)
Keyphrases
  • step size
  • variable step size
  • optimal control
  • brownian motion
  • convergence rate
  • convergence speed
  • cost function
  • closed form
  • stochastic differential equations
  • control system
  • wavelet coefficients