An adaptive timestepping algorithm for stochastic differential equations

By H. Lamba. 2003

52 citations recorded by the source corpus.

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Gotta Go Fast When Generating Data with Score-Based Models (2021, methodology): “…[Lamba, 2003] 0.5 Yes Did not converge Lamba EM (atol=1e-3) [Lamba, 2003] 0.5 Yes 2 times faster Lamba EM (atol=1e-3, rtol=1e-3) [Lamba, 2003] 0.5 Yes 1.27 times faster Euler-Heun 0.5 No 1.86 times slower Lamba Euler-Heun [Lamba, 2003] 0.5 Yes 1.75 times faster SOSRI [Rößler,…”
Adaptive Euler–Maruyama method for SDEs with nonglobally Lipschitz drift (2016, unknown): “the accuracy of numerical approximations, see [4, 11, 15, 16, 17, 18, 24, 28] and the references therein.”
Universal Differential Equations for Scientific Machine Learning (2020, methodology): “Minimizing the control corresponds to solving the 100-dimensional HJB equation: We solve the PDE by training the USDE using an adaptive Euler-Maruyama method [95] as described in Supplement S ??”