Uniform convergence of interlaced Euler method for stiff stochastic differential equations

DOI10.1137/080743305zbMATH Open1252.65012OpenAlexW2094035517MaRDI QIDQ2905623FDOQ2905623

Authors: Ioana Cipcigan, Muruhan Rathinam 

Publication date: 28 August 2012

Published in: Multiscale Modeling \& Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080743305

Recommendations

• Balanced Implicit Methods for Stiff Stochastic Systems
• The composite Euler method for stiff stochastic differential equations
• scientific article; zbMATH DE number 850216
• Convergence of numerical schemes for stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

zbMATH Keywords

convergenceerror boundsnumerical experimentsBrownian motionsimplicit Euler methodstiff systemexplicit Euler method

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Error bounds for numerical methods for ordinary differential equations (65L70)

Cited In (3)

• Estimation of parameter sensitivities for stochastic reaction networks using tau-leap simulations
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Slow-scale split-step tau-leap method for stiff stochastic chemical systems

This page was built for publication: Uniform convergence of interlaced Euler method for stiff stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2905623)