Solving the stochastic differential systems with modified split-step Euler-Maruyama method (Q2204416)

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Solving the stochastic differential systems with modified split-step Euler-Maruyama method

scientific article; zbMATH DE number 7261581

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English	Solving the stochastic differential systems with modified split-step Euler-Maruyama method	scientific article; zbMATH DE number 7261581

Statements

instance of

scholarly article

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title

Solving the stochastic differential systems with modified split-step Euler-Maruyama method (English)

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Communications in Nonlinear Science and Numerical Simulation

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publication date

15 October 2020

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zbMATH Keywords

stochastic differential system

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split-step Euler-Maruyama

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strong convergence order

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asymptotic mean-square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cnsns.2019.105153

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cites work

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Uncertainty quantification for nonlinear difference equations with dependent random inputs via a stochastic Galerkin projection technique

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Mean square power series solution of random linear differential equations

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A stochastic model for internal HIV dynamics

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Q4942767

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Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations

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Mean square convergence of the numerical solution of random differential equations

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Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

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Modified stochastic theta methods by ODEs solvers for stochastic differential equations

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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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Mean-square stability of numerical schemes for stochastic differential systems

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Split-step backward balanced Milstein methods for stiff stochastic systems

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High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.CNSNS.2019.105153

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Sitelinks

Mathematics(1 entry)

mardi Solving the stochastic differential systems with modified split-step Euler-Maruyama method