SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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An adaptive time stepping method for SDEs

T. Shardlow and P. Taylor

We use rough path theory to understand an adaptive time stepping strategy for the pathwise approximation of SDEs.

Organized by         Universidad de Valladolid     IMUVA