2021
DOI: 10.1007/s00211-021-01233-4
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An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems

Abstract: We develop an adaptive algorithm for large SDE systems, which automatically selects (quasi-)deterministic time steps for the semi-implicit Euler method, based on an a posteriori weak error estimate. Main tools to construct the a posteriori estimator are the representation of the weak approximation error via Kolmogorov’s backward equation, a priori bounds for its solution and the Clark–Ocone formula. For a certain class of SDE systems, we validate optimal weak convergence order 1 of the a posteriori estimator, … Show more

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Cited by 5 publications
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References 24 publications
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