Generalized two-step Maruyama methods for stochastic differential equations

DOI10.1016/J.AMC.2018.03.003MaRDI QIDQ2333223zbMATH OpenOpenAlexWikidataFDO

Authors Quanwei Ren, Hongjiong Tian

Publication date 12 November 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2018.03.003

zbMATH Keywords

Adams methodgeneralized two-step Maruyama methodmean-square consistencymean-square convergencemean-square stabilitystochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Adams methods for the efficient solution of stochastic differential equations with additive noise
• Adams-type methods for the numerical solution of stochastic ordinary differential equations
• Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Continuous Markov processes and stochastic equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
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• scientific article; zbMATH DE number 1244257 (Why is no real title available?)
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• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Mean-square convergence of stochastic multi-step methods with variable step-size
• Multistep methods for SDEs and their application to problems with small noise
• Numerical Analysis of Stochastic Schemes in Geophysics
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Two-step Milstein schemes for stochastic differential equations

Cited in

(8)

• Two-step Runge-Kutta methods for stochastic differential equations
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Generalized two-step Milstein methods for stochastic differential equations
• Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
• Multi-Step Maruyama Methods for Stochastic Delay Differential Equations
• Two-step Maruyama schemes for nonlinear stochastic differential delay equations
• Balanced implicit two-step Maruyama methods for stochastic differential equations
• Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

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