Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

DOI10.1137/S1064827594278575MaRDI QIDQ4376220zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 10 February 1998

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s1064827594278575

zbMATH Keywords

computer simulationsmall noisesstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical methods for ordinary differential equations (65L99)

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Cited in

(22)

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• Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• Mean-square convergence of stochastic multi-step methods with variable step-size
• One-step approximations for stochastic functional differential equations
• Multilevel Monte Carlo for stochastic differential equations with small noise
• Numerical solution of stochastic differential equations in finance
• A Variable Step Size Riemannian Sum for an Itô Integral
• Modelling and simulation of transient noise in circuit simulation
• Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Mean Square Numerical Methods for Initial Value Random Differential Equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Runge-Kutta methods for jump-diffusion differential equations
• A solution of the Ornstein-Uhlenbeck equation
• Improved linear multi-step methods for stochastic ordinary differential equations
• SDELab: A package for solving stochastic differential equations in MATLAB

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