A class of split-step balanced methods for stiff stochastic differential equations

DOI10.1007/S11075-012-9534-5zbMATH Open1408.65006OpenAlexW2047293380MaRDI QIDQ451801FDOQ451801

Authors: Amir Haghighi, S. Mohammad Hosseini 

Publication date: 24 September 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-012-9534-5

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zbMATH Keywords

stochastic differential equationsmean-square stabilitystiff equationssplit-step balanced methods

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• An algorithmic introduction to numerical simulation of stochastic differential equations
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• A survey of numerical methods for stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• On the stability of some second order numerical methods for weak approximation of Itô SDEs
• A note on the balanced method
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• 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
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• The approximation of multiple stochastic integrals
• Recent Developments in Applied Probability and Statistics
• Applications of the balanced method to stochastic differential equations in filtering

Cited In (20)

• Implicit numerical solutions for solving stochastic differential equations with jumps
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
• Split-step backward balanced Milstein methods for stiff stochastic systems
• Title not available (Why is that?)
• Split-step double balanced approximation methods for stiff stochastic differential equations
• 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
• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
• Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
• Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
• Characterization of bistability for stochastic multistep methods
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
• A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations

Uses Software

• RODAS

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