Split-step backward balanced Milstein methods for stiff stochastic systems

DOI10.1016/j.apnum.2008.06.001zbMath1166.65003MaRDI QIDQ1015909

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

zbMATH Keywords

numerical results; stochastic Taylor expansion; stiff equations; mean-square stability; Itô stochastic differential equations; split-step backward balanced Milstein methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method, A class of split-step balanced methods for stiff stochastic differential equations, The composite Milstein methods for the numerical solution of Itô stochastic differential equations, Split-step forward methods for stochastic differential equations, Split-step backward balanced Milstein methods for stiff stochastic systems, The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations, Convergence and stability of the balanced methods for stochastic differential equations with jumps

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