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

DOI10.1016/J.CAM.2023.115069MaRDI QIDQ6157960zbMATH OpenFDO

Authors Quanwei Ren, Huiqun Bai

Publication date 22 June 2023

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

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)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
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• scientific article; zbMATH DE number 6164564 (Why is no real title available?)
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• Balanced Implicit Methods for Stiff Stochastic Systems
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• Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
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• Split-step backward balanced Milstein methods for stiff stochastic systems
• Split-step double balanced approximation methods for stiff stochastic differential equations
• Split-step forward methods for stochastic differential equations
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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
• The composite Euler method for stiff stochastic differential equations
• Weakly Singular Discrete Gronwall Inequalities

Cited in

(2)

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

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