Five-stage Milstein methods for SDEs

DOI10.1080/00207160.2012.657629zbMATH Open1255.65017OpenAlexW2057517278MaRDI QIDQ4903573FDOQ4903573

Authors: Samar Singh, Soumyendu Raha 

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.657629

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zbMATH Keywords

stabilitystochastic differential equationmean-square convergencemean convergenceexplicit method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Title not available (Why is that?)
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• Title not available (Why is that?)
• Three-stage stochastic Runge-Kutta methods for stochastic differential equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• Split-step forward methods for stochastic differential equations

Cited In (4)

• Title not available (Why is that?)
• Two-stage Milstein methods for stochastic differential equations
• Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems

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