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

DOI10.1007/S40096-021-00392-7zbMATH Open1486.65012OpenAlexW3151188176WikidataQ115374247 ScholiaQ115374247MaRDI QIDQ2140372FDOQ2140372

Authors: Yanyan Li 

Publication date: 20 May 2022

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-021-00392-7

Recommendations

• Split-step forward methods for stochastic differential equations
• scientific article; zbMATH DE number 5812226
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
• A class of split-step balanced methods for stiff stochastic differential equations
• scientific article; zbMATH DE number 6164564

zbMATH Keywords

strong convergencemean-square stabilityEuler-Maruyama methodItô stochastic differential equations

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• A note on the balanced method
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• An error corrected Euler method for solving stiff problems based on Chebyshev collocation
• The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Split-step forward methods for stochastic differential equations
• A class of split-step balanced methods for stiff stochastic differential equations
• Split-step double balanced approximation methods for stiff stochastic differential equations
• The improved split-step θ methods for stochastic differential equation
• Efficient Split Linear Multistep Methods for Stiff Ordinary Differential Equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
• Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
• \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
• Strong convergence of the split-step theta method for neutral stochastic delay differential equations
• An efficient approach based on radial basis functions for solving stochastic fractional differential equations
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
• Convergence analysis of the space fractional-order diffusion equation based on the compact finite difference scheme
• Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
• Solving the stochastic differential systems with modified split-step Euler-Maruyama method
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• Numerical solution of the Stratonovich- and Ito-Euler equations: application to the stochastic piston problem
• Study on split-step Rosenbrock type method for stiff stochastic differential systems

Cited In (5)

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

This page was built for publication: Improving split-step forward methods by ODE solver for stiff stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2140372)