| EPSRC Reference: |
GR/R10158/01 |
| Title: |
Adaptivity For Stochastic Differential Equations: Long-Time Dynamics |
| Principal Investigator: |
Stuart, Professor A |
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| Department: |
Mathematics |
| Organisation: |
University of Warwick |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
09 November 2000 |
Ends: |
08 November 2001 |
Value (£): |
6,128
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Summary on Grant Application Form |
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The use of simple explicit numerical methods, such as the Euler-Maruyama scheme, is highly desirable for many stochastic differential equations (SDEs) arising in practice. However such schemes are transient when applied to a variety of ergodic SDEs, no matter how small a time-step is used. For ordinary differential equations (ODEs), related problems can be ameliorated to a large extent by the use of adaptive time-step algorithms. The aim of this work is to study the use adaptive time-step algorithms for SDEs, in particular with regard to the effect on ergodicity. The work will be based on the study of existing algorithms for adaptive integration of SDEs, such as that due to Gaines-Lyons, together with insights gained from the understanding of adaptivity on the dynamics of ODEs.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Further Information: |
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| Organisation Website: |
http://www.warwick.ac.uk |