Balanced implicit methods with strong order 1.5 for solving stochastic differential equations

DOI10.1016/J.CAM.2023.115069zbMATH Open1524.65039MaRDI QIDQ6157960FDOQ6157960

Authors: Quanwei Ren, Huiqun Bai 

Publication date: 22 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationmean-square stabilitymean-square convergencebalanced implicit methodsplit-step balanced implicit method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

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• Weakly Singular Discrete Gronwall Inequalities
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• A note on the balanced method
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• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Balanced Milstein Methods for Ordinary SDEs
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• Split-step forward methods for stochastic differential equations
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• Split-step double balanced approximation methods for stiff stochastic differential equations
• Split-step Milstein methods for multi-channel stiff stochastic differential systems
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• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Study on split-step Rosenbrock type method for stiff stochastic differential systems
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Cited In (2)

• Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case
• Convergence and stability of the balanced Euler method for stochastic pantograph differential equations with Markovian switching

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