A numerical scheme with adaptive stepsize for Stochastic Differential Equations with additive noise

Abstract

. This paper introduces an A-stable adaptive integrator based on the Local Linearization (LL) technique for the computer simulation of stochastic differential equations driven by additive noise. To construct the method, novel embedding stochastic LL schemes and a adaptive strategy are proposed. Simulation results are presented to illustrate the practical performance of the introduced integrator.