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scientific article; zbMATH DE number 7409367

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7409367

Statements

scholarly article

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Juan-Carlos Cortés

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publication date

13 October 2021

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full work available at URL

http://www.math.ualberta.ca/ijnam/Volume-17-2020/No-5-20/2020-05-03.pdf

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zbMATH Keywords

Itô stochastic differential system

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split-step method

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ODE solver

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harmonic mean

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strong convergence

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mean-square stability

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MaRDI profile type

MaRDI publication profile

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Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

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The composite Euler method for stiff stochastic differential equations

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Strong solution of the stochastic Burgers equation

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

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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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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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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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\(A\)-stability and stochastic mean-square stability

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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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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson

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Continuous Markov processes and stochastic equations

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Approximate Integration of Stochastic Differential Equations

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Balanced Implicit Methods for Stiff Stochastic Systems

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Modified stochastic theta methods by ODEs solvers for stochastic differential equations

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

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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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A new fourth order runge-kutta formula based on the harmonic mean

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Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise

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Five-stage Milstein methods for SDEs

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Runge-Kutta methods for numerical solution of stochastic differential equations

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Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar 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 family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Split-step forward methods for stochastic differential equations

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Split-step backward balanced Milstein methods for stiff stochastic systems

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A modified third order Runge-Kutta method

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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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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5155921

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