most citedAdaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations

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math.NA2017★ 1 cited

Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations

Cónall Kelly, Alexandra Rodkina, Eeva Maria Rapoo

We consider the use of adaptive timestepping to allow a strong explicit Euler-Maruyama discretisation to reproduce dynamical properties of a class of nonlinear stochastic different…