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)

Full work available at URL https://doi.org/10.1016/J.CAM.2023.115069

zbMATH Keywords

balanced implicit methodmean-square convergencemean-square stabilitysplit-step balanced implicit methodstochastic differential equation

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

• A class of split-step balanced methods for stiff stochastic differential equations
• A note on the balanced method
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• Balanced Milstein Methods for Ordinary SDEs
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• scientific article; zbMATH DE number 765034 (Why is no real title available?)
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• Numerical simulation of stochastic ordinary differential equations in biomathematical modelling.
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Cited in

(6)

• 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
• Enhancing the Euler-Maruyama integrator via a balancing strategy for stochastic Volterra integral equations
• Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations
• Balanced Euler methods for the strong approximation of stochastic Volterra integral equations
• Split-step integrator for generalized stochastic Volterra integro-differential equations

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