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
numerical experimentsstochastic differential equationsEuler-Maruyama methodstability regionsplit methodstifferror corrected method
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)
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