A weak second-order split-step method for numerical simulations of stochastic differential equations

DOI10.1007/S10543-014-0482-4zbMATH Open1309.65008OpenAlexW1969302236MaRDI QIDQ466817FDOQ466817

Authors: Cedric Perret, Wesley P. Petersen 

Publication date: 31 October 2014

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/325703/files/10543_2014_Article_482.pdf

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zbMATH Keywords

stabilityMonte Carlo simulationnumerical examplestochastic differential equationstrapezoidal rulesplit-step method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations

Cited In (6)

• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Weak second order S-ROCK methods for Stratonovich stochastic differential equations
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• The stochastic second-order perturbation technique in the finite difference method
• Word combinatorics for stochastic differential equations: splitting integrators
• A weak trapezoidal method for a class of stochastic differential equations

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