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BIT Numerical Mathematics

, Volume 49, Issue 1, pp 217–245 | Cite as

Local error estimates for moderately smooth problems: Part II—SDEs and SDAEs with small noise

  • Thorsten Sickenberger
  • Ewa Weinmüller
  • Renate Winkler
Article

Abstract

The paper consists of two parts. In the first part of the paper, we proposed a procedure to estimate local errors of low order methods applied to solve initial value problems in ordinary differential equations (ODEs) and index-1 differential-algebraic equations (DAEs). Based on the idea of Defect Correction we developed local error estimates for the case when the problem data is only moderately smooth, which is typically the case in stochastic differential equations. In this second part, we will consider the estimation of local errors in context of mean-square convergent methods for stochastic differential equations (SDEs) with small noise and index-1 stochastic differential-algebraic equations (SDAEs). Numerical experiments illustrate the performance of the mesh adaptation based on the local error estimation developed in this paper.

Keywords

Local error estimation Step-size control Adaptive methods Stochastic differential equations Small noise Stochastic differential-algebraic equations Mean-square numerical methods 

Mathematics Subject Classification (2000)

65C30 60H35 65L06 65L80 65L50 

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Copyright information

© Springer Science + Business Media B.V. 2009

Authors and Affiliations

  • Thorsten Sickenberger
    • 1
  • Ewa Weinmüller
    • 2
  • Renate Winkler
    • 3
  1. 1.Department of MathematicsHeriot-Watt UniversityEdinburghUK
  2. 2.Institut für Analysis und Scientific ComputingTechnische Universität WienWienAustria
  3. 3.Bergische Universität WuppertalFachbereich C-MathematikWuppertalGermany

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