A class of split-step balanced methods for stiff stochastic differential equations
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Publication:451801
DOI10.1007/S11075-012-9534-5zbMATH Open1408.65006OpenAlexW2047293380MaRDI QIDQ451801FDOQ451801
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Cites work
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- A note on the balanced method
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- Applications of the balanced method to stochastic differential equations in filtering
- Balanced Implicit Methods for Stiff Stochastic Systems
- Balanced Milstein Methods for Ordinary SDEs
- Implicit Taylor methods for stiff stochastic differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Numerical methods for strong solutions of stochastic differential equations: an overview
- On the stability of some second order numerical methods for weak approximation of Itô SDEs
- Recent Developments in Applied Probability and Statistics
- Split-step backward balanced Milstein methods for stiff stochastic systems
- The approximation of multiple stochastic integrals
- The composite Euler method for stiff stochastic differential equations
Cited in
(20)- Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations
- Split-step double balanced approximation methods for stiff stochastic differential equations
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
- 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
- Characterization of bistability for stochastic multistep methods
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
- Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
- A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
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