Modified stochastic theta methods by ODEs solvers for stochastic differential equations (Q2206168): Difference between revisions

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Language	Label	Description	Also known as
English	Modified stochastic theta methods by ODEs solvers for stochastic differential equations	scientific article

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scholarly article

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Modified stochastic theta methods by ODEs solvers for stochastic differential equations (English)

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Leila Torkzadeh

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Communications in Nonlinear Science and Numerical Simulation

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publication date

21 October 2020

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zbMATH Keywords

ODEs solver

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stochastic differential equations

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stochastic theta method

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mean-square convergence and stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cnsns.2018.08.013

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Approximation of the invariant measure with an Euler scheme for stochastic PDEs driven by space-time white noise

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

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High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

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Mean square power series solution of random linear differential equations

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Strong solution of the stochastic Burgers equation

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Numerical solution of random differential equations: a mean square approach

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Numerical solution of random differential initial value problems: Multistep methods

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On the logistic equation subject to uncertainties in the environmental carrying capacity and initial population density

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On the linear advection equation subject to random velocity fields

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

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Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Stability of random dynamical systems on Banach spaces

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An Error Corrected Euler Method for Solving Stiff Problems Based on Chebyshev Collocation

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Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations

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Mean square convergence of the numerical solution of random differential equations

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

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

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Implicit Taylor methods for stiff stochastic differential equations

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Mean-square stability analysis of numerical schemes for stochastic differential systems

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

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

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Stochastic Models with Applications to Genetics, Cancers, AIDS and Other Biomedical Systems

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Identifiers

10.1016/j.cnsns.2018.08.013

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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