An error corrected split Euler-Maruyama method

DOI10.3969/J.ISSN.1001-8395.2015.06.007zbMATH Open1349.65040MaRDI QIDQ2990906FDOQ2990906

Authors: Zhengwei Yin, Tianjun Wang 

Publication date: 10 August 2016

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• scientific article; zbMATH DE number 6164564

zbMATH Keywords

numerical experimentsstochastic differential equationsEuler-Maruyama methodstability regionsplit methodstifferror corrected 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) Numerical methods for stiff equations (65L04)

Cited In (3)

• Title not available (Why is that?)
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• The split-step Euler Maruyama method preserves asymptotic stability for simulated annealing problems

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