A note on the balanced method (Q855290)
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scientific article; zbMATH DE number 5081858
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| English | A note on the balanced method |
scientific article; zbMATH DE number 5081858 |
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A note on the balanced method (English)
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5 January 2007
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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.
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stochastic differential equations
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numerical example
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stability
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balanced method
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Duffing-Van der Pol oscillator
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0.8203642964363098
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0.8189069628715515
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0.8181779384613037
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0.8131899833679199
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