Split-step backward balanced Milstein methods for stiff stochastic systems
Publication:1015909
DOI10.1016/j.apnum.2008.06.001zbMath1166.65003MaRDI QIDQ1015909
Publication date: 30 April 2009
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2008.06.001
numerical results; stochastic Taylor expansion; stiff equations; mean-square stability; Itô stochastic differential equations; split-step backward balanced Milstein methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
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