Split-step backward balanced Milstein methods for stiff stochastic systems

DOI10.1016/J.APNUM.2008.06.001zbMATH Open1166.65003OpenAlexW2044357191MaRDI QIDQ1015909FDOQ1015909

Authors: Peng Wang, Zhenxin Liu 

Publication date: 30 April 2009

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2008.06.001

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zbMATH Keywords

numerical resultsmean-square stabilitystiff equationsstochastic Taylor expansionsplit-step backward balanced Milstein methodsItô stochastic differential equations

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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Cited In (33)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• Split-step \({\theta}\)-method for stochastic delay differential equations
• Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
• Title not available (Why is that?)
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Split-step double balanced approximation methods for stiff stochastic differential equations
• Split-step forward methods for stochastic differential equations
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Balanced Milstein Methods for Ordinary SDEs
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method
• Solving the stochastic differential systems with modified split-step Euler-Maruyama method
• A class of split-step balanced methods for stiff stochastic differential equations
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• Title not available (Why is that?)
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
• Stabilized Milstein type methods for stiff stochastic systems
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• The improved split-step θ methods for stochastic differential equation
• Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
• A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
• Mean-square stability of split-step theta Milstein methods for stochastic differential equations

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