Balanced implicit two-step Maruyama methods for stochastic differential equations

DOI10.1016/J.CNSNS.2024.108512MaRDI QIDQ7027744zbMATH OpenFDO

Authors Quanwei Ren, Jiayi Liu, Yanyan He

Publication date 14 February 2025

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CNSNS.2024.108512

zbMATH Keywords

stochastic differential equationsmean-square stabilitymean-square convergencebalanced implicit methodtwo-step Maruyama method

Mathematics Subject Classification ID

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)

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Cited in

(1)

• Balanced Euler methods for the strong approximation of stochastic Volterra integral equations

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