Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

DOI10.1080/00207160.2014.915963zbMath1316.60100MaRDI QIDQ5248080

David A. Voss, Abdul Q. M. Khaliq

Publication date: 27 April 2015

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

Full work available at URL: https://doi.org/10.1080/00207160.2014.915963

zbMATH Keywords

stochastic differential equations; predictor-corrector method; stiff equations; split-step method; mean-square stability

Mathematics Subject Classification ID

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

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

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

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

65C30: Numerical solutions to stochastic differential and integral equations

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Cites Work

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• Split-step backward balanced Milstein methods for stiff stochastic systems
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• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations