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

DOI10.1016/J.AMC.2015.01.067zbMATH Open1338.65016OpenAlexW1984084225MaRDI QIDQ299692FDOQ299692

Siqing Gan, Zhengwei Yin

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

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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)

Cites Work

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• A survey of numerical methods for stochastic differential equations
• Numerical solution of stochastic differential equations with jumps in finance
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• THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
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• Stabilized methods for stiff stochastic systems
• An Error Corrected Euler Method for Solving Stiff Problems Based on Chebyshev Collocation
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• Stiffly accurate Runge-Kutta methods 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 (12)

• 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
• Title not available (Why is that?)
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• 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
• Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation
• Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach
• Modeling fast diffusion processes in time integration of stiff stochastic differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations

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