Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
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Cites work
- A mean square chain rule and its application in solving the random Chebyshev differential equation
- Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
- Economical Runge-Kutta methods for numerical solution of stochastic differential equations
- Economical Runge-Kutta methods with strong global order one for stochastic differential equations
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Implicit Taylor methods for stiff stochastic differential equations
- Mean square convergence of the numerical solution of random differential equations
- Nordsieck representation of two-step Runge-Kutta methods for ordinary differential equations
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
- Solving random homogeneous linear second-order differential equations: a full probabilistic description
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
- Split-step forward methods for stochastic differential equations
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Study on stochastic differential equations via modified Adomian decomposition method
- The composite Euler method for stiff stochastic differential equations
- The truncated Euler-Maruyama method for stochastic differential equations
- Weak Second Order Conditions for Stochastic Runge--Kutta Methods
Cited in
(7)- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Modified stochastic theta methods by ODEs solvers for stochastic differential equations
- \(\mathrm{L}^p\)-calculus approach to the random autonomous linear differential equation with discrete delay
- Convergence of composite Euler method for solving stochastic differential equations
- Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
- An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
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