Split-step double balanced approximation methods for stiff stochastic differential equations
DOI10.1080/00207160.2018.1480761zbMath1499.65012OpenAlexW2804757108MaRDI QIDQ5031844
Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2018.1480761
stochastic differential equationstiff equationsnumerical stabilitymean-square convergencesplit-step balanced method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)
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