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

DOI10.1016/J.APNUM.2014.10.005zbMath1306.65008arXiv1411.7080OpenAlexW2082917657MaRDI QIDQ482399

Yong-Cai Geng, Sumit K. Garg

Publication date: 30 December 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7080

zbMATH Keywords

convergencenumerical examplestochastic differential equationsstiff equationsLangevin equationssplit-step methodmean-square stabilityMilstein methodmulti-channel noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

Related Items (13)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations ⋮ Truncated Milstein method for non-autonomous stochastic differential equations and its modification ⋮ Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs ⋮ A brief review on stability investigations of numerical methods for systems of stochastic differential equations ⋮ An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients ⋮ Unnamed Item ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Uses Software

• Unnamed Item
• RODAS
• Eigtool
• S-ROCK

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
• A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
• A class of split-step balanced methods for stiff stochastic differential equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Split-step forward methods for stochastic differential equations
• SDELab: A package for solving stochastic differential equations in MATLAB
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stochastic stabilization and destabilization
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• Stability of regime-switching stochastic differential equations
• Stochastic stabilization and destabilization of nonlinear differential equations
• A new numerical method for SDEs and its application in circuit simulation
• Nonnormality and stochastic differential equations
• Stabilized methods for stiff stochastic systems
• The improved split-step θ methods for stochastic differential equation
• Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Modeling with Itô Stochastic Differential Equations
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• Efficient Split Linear Multistep Methods for Stiff Ordinary Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stabilization and Destabilization of Nonlinear Differential Equations by Noise
• Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Multistep methods for SDEs and their application to problems with small noise
• Stochastic modelling of gene regulatory networks

This page was built for publication: Split-step Milstein methods for multi-channel stiff stochastic differential systems