A note on the balanced method
balanced methodDuffing-Van der Pol oscillatornumerical examplestabilitystochastic differential equations
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
The balanced method was introduced by \textit{G. N. Milstein, E. Platen} and \textit{H. Schurz} [SIAM J. Numer. Anal. 35, No.~3, 1010--1019 (1998; Zbl 0914.65143)] as a numerical scheme with more desirable stability properties than the Euler-Maruyama method. In this note, asymptotic and mean-squares stability are examined for several implementations of the balanced method. The mean-squares stability region is exhibited for a linear test equation. Optimal choice of the parameters is discussed. Finally the Duffing-Van der Pol oscillator is shown to be a good example to illustrate the benefits of the balanced method.
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
- Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
- Mean-square convergence and stability of the balanced method for stochastic delay differential equations
- scientific article; zbMATH DE number 7403939
- 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
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
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- 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
- Split-step backward balanced Milstein methods for stiff stochastic systems
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- A balancing strategy
- A new note on a homogeneous balance method
- Approximating explicitly the mean-reverting CEV process
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Construction of positivity preserving numerical method for stochastic age-dependent population equations
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- An improved Milstein method for stiff stochastic differential equations
- A method for determining the effect of imbalance
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
- First-order weak balanced schemes for stochastic differential equations
- Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
- T-stability of the Heun method and balanced method for solving stochastic differential delay equations
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Reduced-order modelling numerical homogenization
- An error corrected Euler-Maruyama method for stiff stochastic differential equations
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
- Balanced Implicit Methods for Stiff Stochastic Systems
- A class of split-step balanced methods for stiff stochastic differential equations
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- A stable numerical scheme for stochastic differential equations with multiplicative noise
- Split-step double balanced approximation methods for stiff stochastic differential equations
- Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
- The composite Milstein methods for the numerical solution of Itô stochastic differential equations
- Balanced implicit two-step Maruyama methods for stochastic differential equations
- The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
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