Adaptive schemes for the numerical solution of SDEs -: a comparison

The efficient numerical solution of stochastic differential equations is important for applications in many fields. Adaptive schemes, well developed in the deterministic setting, may be one possible way to reduce computational cost. We review the two main step size control algorithms that have been proposed in recent years for stochastic differential systems and compare their efficiency in a simulation study. (C) 2002 Elsevier Science B.V. All rights reserved.