Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise.
Werner RömischRenate WinklerPublished in: SIAM J. Sci. Comput. (2006)
Keyphrases
- markov decision processes
- numerical methods
- step size
- additive gaussian noise
- convergence rate
- stochastic differential equations
- differential equations
- brownian motion
- noise reduction
- optimal control
- noise level
- sufficient conditions
- cost function
- control system
- noisy images
- convergence speed
- partial differential equations
- search space