Study on split-step Rosenbrock type method for stiff stochastic differential systems (Q5030526): Difference between revisions

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scientific article; zbMATH DE number 7475924

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English	Study on split-step Rosenbrock type method for stiff stochastic differential systems	scientific article; zbMATH DE number 7475924

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scholarly article

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Study on split-step Rosenbrock type method for stiff stochastic differential systems (English)

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International Journal of Computer Mathematics

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publication date

17 February 2022

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zbMATH Keywords

stiff stochastic differential system

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split-step Rosenbrock type method

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ODEs solver

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mean-square convergence

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asymptotically mean-square stability

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2019.1589459

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The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

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A class of balanced stochastic Runge-Kutta methods for stiff SDE systems

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A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

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Stochastic Runge-Kutta Rosenbrock type methods for SDE systems

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Split-step double balanced approximation methods for stiff stochastic differential equations

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Preserving positivity in solutions of discretised stochastic differential equations

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Role of noise in a market model with stochastic volatility

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Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

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A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems

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The composite Euler method for stiff stochastic differential equations

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An Intertemporal General Equilibrium Model of Asset Prices

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A stochastic model for internal HIV dynamics

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An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

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

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Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model

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The improved split-step <i>θ</i> methods for stochastic differential equation

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A class of split-step balanced methods for stiff stochastic differential equations

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Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems

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Constructing positivity preserving numerical schemes for the two-factor CIR model

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On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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

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Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance

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Structure preserving stochastic integration schemes in interest rate derivative modeling

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Stability of regime-switching stochastic differential equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations

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Split-step Milstein methods for multi-channel stiff stochastic differential systems

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On positivity and boundedness of solutions of nonlinear stochastic difference equations

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Mean-square stability of numerical schemes for stochastic differential systems

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Five-stage Milstein methods for SDEs

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Construction of positivity preserving numerical method for stochastic age-dependent population equations

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Implicit Taylor methods for stiff stochastic differential equations

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

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A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

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Split-step backward balanced Milstein methods for stiff stochastic systems

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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An error corrected Euler-Maruyama method for stiff stochastic differential equations

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Identifiers

zbMATH Open document ID

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10.1080/00207160.2019.1589459

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5030526

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