An error corrected Euler-Maruyama method for stiff stochastic differential equations

DOI10.1016/J.AMC.2015.01.067MaRDI QIDQ299692zbMATH OpenOpenAlexFDO

Authors Zhengwei Yin, Siqing Gan

Publication date 22 June 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.01.067

zbMATH Keywords

asymptotic stabilitymean-square stabilityerror corrected Euler-Maruyama methodmean-square convergencestiff stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• The composite Euler method for stiff stochastic differential equations
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

Cited in

(17)

• Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems
• An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• An error corrected split Euler-Maruyama method
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• Solving the stochastic differential systems with modified split-step Euler-Maruyama method
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• An improved Milstein method for stiff stochastic differential equations
• An error corrected Euler method for solving stiff problems based on Chebyshev collocation
• Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems
• Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Corrected implicit schemes for fractional stochastic differential equation
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• Explicit integration of stiff stochastic differential equations via an efficient implementation of stochastic computational singular perturbation
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations

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