An error corrected split Euler-Maruyama method

DOI10.3969/J.ISSN.1001-8395.2015.06.007MaRDI QIDQ2990906zbMATH OpenFDO

Authors Zhengwei Yin, Tianjun Wang

Publication date 10 August 2016

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-8395.2015.06.007

zbMATH Keywords

error corrected methodEuler-Maruyama methodnumerical experimentssplit methodstability regionstiffstochastic differential equations

Mathematics Subject Classification ID

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) Numerical methods for stiff equations (65L04)

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