An error corrected split Euler-Maruyama method

DOI10.3969/J.ISSN.1001-8395.2015.06.007MaRDI QIDQ2990906zbMATH OpenFDO

Authors Zhengwei Yin, Tianjun Wang

Publication date 10 August 2016

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)

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(3)

• The split-step Euler Maruyama method preserves asymptotic stability for simulated annealing problems
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• An error corrected Euler-Maruyama method for stiff stochastic differential equations

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