Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea (Q723870): Difference between revisions

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English	Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea	scientific article

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scholarly article

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title

Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea (English)

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Mediterranean Journal of Mathematics

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publication date

24 July 2018

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zbMATH Keywords

stochastic differential systems

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composite previous-current-step idea

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strong solution

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Euler-Maruyama method

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mean-square convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00009-018-1187-8

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cites work

Nordsieck representation of two-step Runge-Kutta methods for ordinary differential equations

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The composite Euler method for stiff stochastic differential equations

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Solving random homogeneous linear second-order differential equations: a full probabilistic description

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A mean square chain rule and its application in solving the random Chebyshev differential equation

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Economical Runge-Kutta methods for numerical solution of stochastic differential equations

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Economical Runge-Kutta methods with strong global order one for stochastic differential equations

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Q4004325

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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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The truncated Euler-Maruyama method for stochastic differential equations

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Q4826106

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Q4605116

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Mean square convergence of the numerical solution of random differential equations

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Implicit Taylor methods for stiff stochastic differential equations

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Weak Second Order Conditions for Stochastic Runge--Kutta Methods

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Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

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Split-step forward methods for stochastic differential equations

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Identifiers

zbMATH Open document ID

1393.60063

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DOI

10.1007/s00009-018-1187-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:723870

@@ Property / cites work @@
+Nordsieck representation of two-step Runge-Kutta methods for ordinary differential equations
+Normal rank
@@ Property / cites work @@
+The composite Euler method for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving random homogeneous linear second-order differential equations: a full probabilistic description
+Normal rank
@@ Property / cites work @@
+A mean square chain rule and its application in solving the random Chebyshev differential equation
+Normal rank
@@ Property / cites work @@
+Economical Runge-Kutta methods for numerical solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Economical Runge-Kutta methods with strong global order one for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4605116
@@ Property / cites work: Q4605116 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean square convergence of the numerical solution of random differential equations
+Normal rank
@@ Property / cites work @@
+Implicit Taylor methods for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Weak Second Order Conditions for Stochastic Runge--Kutta Methods
+Normal rank
@@ Property / cites work @@
+Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Split-step forward methods for stochastic differential equations
+Normal rank