Single-seed generation of Brownian paths and integrals for adaptive and
high order SDE solvers
Single-seed generation of Brownian paths and integrals for adaptive and
high order SDE solvers
Despite the success of adaptive time-stepping in ODE simulation, it has so far seen few applications for Stochastic Differential Equations (SDEs). To simulate SDEs adaptively, methods such as the Virtual Brownian Tree (VBT) have been developed, which can generate Brownian motion (BM) non-chronologically. However, in most applications, knowing only the …