Higher-order implicit strong numerical schemes for stochastic differential equations

DOI10.1007/BF01060070zbMath0925.65261OpenAlexW3009005414MaRDI QIDQ1203152

Publication date: 27 October 1993

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01060070

zbMATH Keywords

implicit schemes strong order of convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Probabilistic methods, stochastic differential equations (65C99)

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method for stochastic differential equations with commutative noise, Mean square convergence of explicit two-step methods for highly nonlinear stochastic differential equations, Econometric modelling of climate systems: the equivalence of energy balance models and cointegrated vector autoregressions, Investigation of a problem of an elastic half space subjected to stochastic temperature distribution at the boundary, Closed-form approximate solutions for a class of coupled nonlinear stochastic differential equations, Substructuring tools for probabilistic analysis of instrumented nonlinear moving oscillator-beam systems, Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes, An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions, A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus, Impact of wind power generation on a large scale power system using stochastic linear stability, Investigation on effects of stochastic loading at the boundary under thermoelasticity with two relaxation parameters, Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators, Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations, Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate, The asymptotic error of chaos expansion approximations for stochastic differential equations, Polymerization of sarcoplasmic-reticulum calcium-binding proteins might explain observed reticulum kinetics-on-demand behavior, Composable models for online Bayesian analysis of streaming data, Theoretical and numerical analysis of the Euler-Maruyama method for generalized stochastic Volterra integro-differential equations, The truncated Euler-Maruyama method for stochastic differential equations with Hölder diffusion coefficients, Generalized two-step Maruyama methods for stochastic differential equations, Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises, Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems, Strong convergence of a tamed theta scheme for NSDDEs with one-sided Lipschitz drift, A multicurve cross-currency LIBOR market model, Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term, On large deviations for some sequences of weighted means of Gaussian processes, Pathwise Taylor expansions for random fields on multiple dimensional paths, A class of balanced stochastic Runge-Kutta methods for stiff SDE systems, A note on strong convergence of implicit scheme for SDEs under local one-sided Lipschitz conditions, Split-step double balanced approximation methods for stiff stochastic differential equations, Stability in Distribution of Numerical Solutions for Stochastic Differential Equations, Melnikov processes and chaos in randomly perturbed dynamical systems, Fixed-Time Outer Synchronization of Complex Networks with Noise Coupling, On the approximation of Lévy driven Volterra processes and their integrals, Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients, Nonparametric Bayesian methods for one-dimensional diffusion models, Intrinsic stochastic differential equations as jets, On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion, Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation, Reduced α-stable dynamics for multiple time scale systems forced with correlated additive and multiplicative Gaussian white noise, Mean-square contractivity of stochastic \(\vartheta\)-methods, Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models, Convergence and stability of the two classes of balanced Euler methods for stochastic differential equations with locally Lipschitz coefficients, Strong Convergence of the Euler-Maruyama Method for Nonlinear Stochastic Volterra Integral Equations with Time-Dependent Delay, An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations, Strong Convergence of the Euler-Maruyama Method for a Class of Stochastic Volterra Integral Equations, Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations, Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients, Optimal sampling design for global approximation of jump diffusion stochastic differential equations, Strong convergence rate for multivalued stochastic differential equations via stochastic theta method, Efficient discretisation of stochastic differential equations, Lévy noise perturbation for an epidemic model with impact of media coverage, An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables, Convergence and stability of stochastic theta method for nonlinear stochastic differential equations with piecewise continuous arguments, Numerical solution of stochastic state-dependent delay differential equations: convergence and stability, Random-batch method for multi-species stochastic interacting particle systems, Low-rank statistical finite elements for scalable model-data synthesis, A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting, Accurate and robust splitting methods for the generalized Langevin equation with a positive prony series memory kernel, Numerical solutions of stochastic Fisher equation to study migration and population behavior in biological invasion, Unnamed Item, Collective dynamic behaviors of a general adjacent coupled chain in both unconfined and confined spaces, Stability and ergodicity of a stochastic Gilpin–Ayala model under regime switching on patches, On the conservative character of discretizations to Itô-Hamiltonian systems with small noise, Monitoring the wave function by time continuous position measurement, Deep physics corrector: a physics enhanced deep learning architecture for solving stochastic differential equations, Abundant exact soliton solutions of the \((2+1)\)-dimensional Heisenberg ferromagnetic spin chain equation based on the Jacobi elliptic function ideas, Stochastic dynamics for inextensible fibers in a spatially semi-discrete setting, Random walk numerical scheme for the steady-state of stochastic differential equations, A Lagrangian probability-density-function model for collisional turbulent fluid–particle flows, Asymptotic estimates for the solution of stochastic differential equations driven By G-Brownian motion, Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise, Media effects on the dynamics of a stochastic SIRI epidemic model with relapse and Lévy noise perturbation, Neural network representation of the probability density function of diffusion processes, Rare event simulation for steady-state probabilities via recurrency cycles, Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion, STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS, Unnamed Item, A two-step estimation of diffusion processes using noisy observations, DYNAMICS OF A STOCHASTIC SIR MODEL WITH BOTH HORIZONTAL AND VERTICAL TRANSMISSION, Regularization of the big bang singularity with random perturbations, A network model for polarization of political opinion, Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations, Achieving control and synchronization merely through a stochastically adaptive feedback coupling, Unnamed Item, Designing the optimal bit: balancing energetic cost, speed and reliability, Stochastic stabilization of rigid body motion of a spacecraft on SE(3), Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's, Unnamed Item, Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model, Two-step Maruyama schemes for nonlinear stochastic differential delay equations, On the numerical stability of simulation methods for SDEs under multiplicative noise in finance, Convergence of numerical solutions to stochastic age-dependent population equations, Explorations of a family of stochastic Newmark methods in engineering dynamics, Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators, Approximate solutions of stochastic differential delay equations with Markovian switching, Mean-square stability properties of an adaptive time-stepping SDE solver, Evaluating methods for approximating stochastic differential equations, Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations, A reliable numerical analysis for stochastic gonorrhea epidemic model with treatment effect, Pathwise convergent higher order numerical schemes for random ordinary differential equations, A novel stochastic locally transversal linearization (LTL) technique for engineering dynamical systems: strong solutions, Novel solutions of the Helmholtz equation and their application to diffraction, A stochastic Trotter integration scheme for dissipative particle dynamics, Asymptotic properties of switching diffusion epidemic model with varying population size, Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data, Discrete-time approximation for continuously and discretely reflected BSDEs, Mean square convergence of one-step methods for neutral stochastic differential delay equations, On local linearization method for stochastic differential equations driven by fractional Brownian motion, Two-sided bounds on some output-related quantities in linear stochastically excited vibration systems with application of the differential calculus of norms, Quasi-stationary states of game-driven systems: A dynamical approach, Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise, Targeted energy transfer in stochastically excited system with nonlinear energy sink, Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations, Probabilistically induced domain decomposition methods for elliptic boundary-value problems, Numerical analysis for stochastic age-dependent population equations, Disease emergence in deterministic and stochastic models for host and pathogen, Non-equilibrium quantum spin dynamics from classical stochastic processes, Disentanglement approach to quantum spin ground states: field theory and stochastic simulation, Combinatorics for calculating expectation values of functions in systems with evolution governed by stochastic differential equations, Sorption–desorption, surface diffusion, and memory effects in a 3D system, Multiscale modelling and splitting approaches for fluids composed of Coulomb-interacting particles, The moving-eigenvalue method: hitting time for Itô processes and moving boundaries, Estimating long-term behavior of periodically driven flows without trajectory integration, Multi-level Monte Carlo methods with the truncated Euler–Maruyama scheme for stochastic differential equations, Discrete gradient methods and linear projection methods for preserving a conserved quantity of stochastic differential equations, Numerical solutions of stochastic nonlinear point reactor kinetics equations in presence of Newtonian temperature feedback effects, Generalized two-step Milstein methods for stochastic differential equations, Effect of noise on residence times of a heteroclinic cycle, FOCUS: a full-orbit CUDA solver for particle simulations in magnetized plasmas, Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems, Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments, Advanced Multilevel Monte Carlo Methods, A modified walk‐on‐sphere method for high dimensional fractional Poisson equation, Strong stochastic Runge-Kutta-Munthe-Kaas methods for nonlinear Itô SDEs on manifolds, Three ways to solve partial differential equations with neural networks — A review, Convergence and exponential stability of modified truncated Milstein method for stochastic differential equations, Total variation bound for Milstein scheme without iterated integrals, The dynamics of working hours and wages under implicit contracts, Relatively exact controllability for higher-order fractional stochastic delay differential equations, Variance reduced particle solution of the Fokker-Planck equation with application to rarefied gas and plasma dynamics, An inverse random source problem for the time-space fractional diffusion equation driven by fractional Brownian motion, Optimal Vaccination Campaigns Using Stochastic SIR Model and Multiobjective Impulsive Control, Stochastic interconnected hybrid dynamic modeling for time-to-event processes, Numerical approximation of a stochastic age‐structured population model in a polluted environment with Markovian switching, How random fluctuations can generate and suppress complex oscillatory regimes in continuous stirred tank reactors, Stochastic radioactive decay, Lagrangian Modelling of Transport Phenomena Using Stochastic Differential Equations, Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence, Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model, Explicit pseudo-symplectic Runge-Kutta methods for stochastic Hamiltonian systems, Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme, Weakly convergent stochastic simulation of electron collisions in plasmas, A stochastic maximum principle approach for reinforcement learning with parameterized environment, Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments, Aligning active particles py package, The high-order approximation of SPDEs with multiplicative noise via amplitude equations, Efficient Bayesian estimation of the generalized Langevin equation from data, Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations, Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise, Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method, Convergent finite element based discretization of a stochastic two‐phase flow model, Dynamic analysis of a stochastic epidemic model incorporating the double epidemic hypothesis and Crowley-Martin incidence term, Balanced implicit methods with strong order 1.5 for solving stochastic differential equations, How do Monte Carlo estimates affect stochastic geometric numerical integration?, Stability of the analytic solution and the partially truncated Euler–Maruyama method for a class of stochastic Volterra integro-differential equations with non-globally Lipschitz continuous coefficients, Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients, Positivity-preserving numerical method for a stochastic multi-group SIR epidemic model, A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model, Mean-reverting schemes for solving the CIR model, On distributions of velocity random fields in turbulent flows, Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing, A hybrid lattice Boltzmann-random walk method for heat transfer in gas-solids systems, Automated translation and accelerated solving of differential equations on multiple GPU platforms, Least square method based on Haar wavelet to solve multi-dimensional stochastic Itô-Volterra integral equations, Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments, Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion, Stability of weak numerical schemes for stochastic differential equations, The composite Euler method for stiff stochastic differential equations, Implicit Taylor methods for stiff stochastic differential equations, Stochastic differential algebraic equations of index 1 and applications in circuit simulation., The pdf approach to turbulent polydispersed two-phase flows, Nonlinear Lebesgue and Itô integration problems of high complexity, Stability of weak numerical schemes for stochastic differential equations, Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise., Stochastic PDEs: Convergence to the continuum?, Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations, Runge-Kutta methods for numerical solution of stochastic differential equations, High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, A global random walk on grid algorithm for second order elliptic equations, Stochastic differential algebraic equations of index 1 and applications in circuit simulation.

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