Two-step strong order 1.5 schemes for stochastic differential equations
DOI10.1007/S11075-016-0227-3zbMATH Open1375.65008OpenAlexW2547008329MaRDI QIDQ2407917FDOQ2407917
Authors: M. J. Senosiain, A. Tocino 
Publication date: 6 October 2017
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-016-0227-3
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stochastic differential equationsmean square stabilitybackward differentiation formulatwo-step methodAdams-MoultonAdams-Bashford
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Multistep methods for SDEs and their application to problems with small noise
- Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations
- Two-step Milstein schemes for stochastic differential equations
- Numerical Analysis of Stochastic Schemes in Geophysics
Cited In (6)
- Strong 1.5 order scheme for second-order stochastic differential equations without Levy area
- Integration of the stochastic underdamped harmonic oscillator by the \(\theta \)-method
- Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
- Numerical development and evaluation of an energy conserving conceptual stochastic climate model
- Two-step Milstein schemes for stochastic differential equations
- Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
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