A note on the balanced method

DOI10.1007/S10543-006-0098-4MaRDI QIDQ855290zbMATH OpenOpenAlexFDO

Authors Jamie Alcock, Kevin Burrage

Publication date 5 January 2007

Published in BIT (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10543-006-0098-4

zbMATH Keywords

stabilitynumerical examplestochastic differential equationsbalanced methodDuffing-Van der Pol oscillator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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• scientific article; zbMATH DE number 7403939

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 834475 (Why is no real title available?)
• Balanced Implicit Methods for Stiff Stochastic Systems
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Implicit stochastic Runge-Kutta methods for stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

Cited in

(39)

• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• Reduced-order modelling numerical homogenization
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• Split-step double balanced approximation methods for stiff stochastic differential equations
• A balancing strategy
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• A stable numerical scheme for stochastic differential equations with multiplicative noise
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Implicit numerical solutions for solving stochastic differential equations with jumps
• A new note on a homogeneous balance method
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• An improved Milstein method for stiff stochastic differential equations
• On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• A method for determining the effect of imbalance
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• A class of split-step balanced methods for stiff stochastic differential equations
• First-order weak balanced schemes for stochastic differential equations
• Approximating explicitly the mean-reverting CEV process
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps

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