scientific article; zbMATH DE number 5812226
zbMATH Open1212.65020MaRDI QIDQ3052503FDOQ3052503
Authors: Peng Wang, Yuecai Han 
Publication date: 5 November 2010
Title of this publication is not available (Why is that?)
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numerical resultsmean-square stabilitysplitting techniquebackward Milstein methodItô stochastic differential equation
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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Cited In (10)
- Title not available (Why is that?)
- A Practical Splitting Method for Stiff SDEs with Applications to Problems with Small Noise
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Split-step double balanced approximation methods for stiff stochastic differential equations
- Split-step forward methods for stochastic differential equations
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
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