Improving split-step forward methods by ODE solver for stiff stochastic differential equations

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (3)

An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach

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