The improved split-step θ methods for stochastic differential equation

DOI10.1002/MMA.2972MaRDI QIDQ2931022zbMATH OpenOpenAlexFDO

Authors Qian Guo, Hongqun Li, Ying Zhu

Publication date 21 November 2014

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.2972

zbMATH Keywords

Cox-Ingersoll-Ross modelHamiltonian-preservingmean-square stabilitynumerical methodpositivity-preservingstochastic differential equation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12)

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Cites work

• \(A\)-stability and stochastic mean-square stability
• A theory of the term structure of interest rates
• Balanced Implicit Methods for Stiff Stochastic Systems
• Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
• Continuous Markov processes and stochastic equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
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• Split-step backward balanced Milstein methods for stiff stochastic systems
• Split-step forward methods for stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Structure preserving stochastic integration schemes in interest rate derivative modeling
• Symplectic Integration of Hamiltonian Systems with Additive Noise
• The composite Euler method for stiff stochastic differential equations

Cited in

(14)

• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations
• Improving split-step forward methods by ODE solver for stiff 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
• High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
• A new solution method for stochastic differential equations via collocation approach
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• A revisit of stochastic theta method with some improvements
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• Modifying the split-step -method with harmonic-mean term for stochastic differential equations
• Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
• Extrapolation of the Stochastic Theta Numerical Method for Stochastic Differential Equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Split-step forward methods for stochastic differential equations

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