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Showing 2009 · math.NAShow all
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math.NA2009★ 4 cited
On Asymptotic Global Error Estimation and Control of Finite Difference Solutions for Semilinear Parabolic Equations
Kristian Debrabant, Jens Lang
The aim of this paper is to extend the global error estimation and control addressed in Lang and Verwer [SIAM J. Sci. Comput. 29, 2007] for initial value problems to finite differe…
math.NA2009★ 25 cited
Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
Kristian Debrabant
A new class of third order Runge-Kutta methods for stochastic differential equations with additive noise is introduced. In contrast to Platen's method, which to the knowledge of th…