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

DOI10.1016/j.apnum.2014.10.005zbMath1306.65008arXiv1411.7080OpenAlexW2082917657MaRDI 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

convergencenumerical examplestochastic differential equationsstiff equationsLangevin equationssplit-step methodmean-square stabilityMilstein methodmulti-channel noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

Related Items (11)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Double-implicit and split two-step Milstein schemes for stochastic differential equations ⋮ Asymptotic mean-square stability of explicit Runge-Kutta Maruyama methods for stochastic delay differential equations ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations ⋮ Truncated Milstein method for non-autonomous stochastic differential equations and its modification ⋮ Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs ⋮ Unnamed Item ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Uses Software

• SDELab
• RODAS
• Eigtool
• S-ROCK

Cites Work

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