A note on the balanced method (Q855290): Difference between revisions

The balanced method was introduced by \textit{G. N. Milstein, E. Platen} and \textit{H. Schurz} [SIAM J. Numer. Anal. 35, No.~3, 1010--1019 (1998; Zbl 0914.65143)] as a numerical scheme with more desirable stability properties than the Euler-Maruyama method. In this note, asymptotic and mean-squares stability are examined for several implementations of the balanced method. The mean-squares stability region is exhibited for a linear test equation. Optimal choice of the parameters is discussed. Finally the Duffing-Van der Pol oscillator is shown to be a good example to illustrate the benefits of the balanced method.