Lamba, H. and Mattingly, J. C. and Stuart, A. M., An adaptive {E}uler-{M}aruyama scheme for {SDE}s: convergence and stability,
IMA Journal of Numerical Analysis, vol. 27 no. 3
(2007),
pp. 479--506, ISSN 0272-4979
(last updated on 2007/12/16)
Author's Comments:
A combined and corrected version of the two papers of similar names which were originally released (2003 and 2004)