Split-step Milstein methods for multi-channel stiff stochastic differential systems

DOI10.1016/j.apnum.2014.10.005zbMath1306.65008arXiv1411.7080MaRDI QIDQ482399

Yong-Cai Geng, Sumit K. Garg

Publication date: 30 December 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7080

zbMATH Keywords

convergence; numerical example; stochastic differential equations; stiff equations; Langevin equations; split-step method; mean-square stability; Milstein method; multi-channel noise

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L04: Numerical methods for stiff equations

Uses Software

• SDELab
• RODAS
• Eigtool
• S-ROCK