Local error estimates for moderately smooth problems: Part II - SDEs and SDAEs with small noise

Thorsten Sickenberger , Ewa Weinmüller , Renate Winkler

Preprint series: Institut für Mathematik, Humboldt-Universität zu Berlin (ISSN 0863-0976), 29 pages

MSC 2000

65C30 Stochastic differential and integral equations

60H35 Computational methods for stochastic equations

Abstract
The paper consists of two parts. In the first part of the paper, we proposed a procedure to estimate local errors of low order methods applied to solve initial value problems in ordinary differential equations (ODEs) and index 1 differential-algebraic equations (DAEs). Based on the idea of Defect Correction we developed local error estimates for the case when the problem data is only moderately smooth, which is typically the case in stochastic differential equations. In this second part, we will consider the estimation of local errors in context of mean-square convergent methods for stochastic differential equations (SDEs) with small noise and index 1 stochastic differential-algebraic equations (SDAEs). Numerical experiments illustrate the performance of the mesh adaptation based on the local error estimation developed in this paper.