A note on the balanced method

DOI10.1007/S10543-006-0098-4zbMATH Open1116.65004OpenAlexW1978298548MaRDI QIDQ855290FDOQ855290

Kevin Burrage, Jamie Alcock

Publication date: 5 January 2007

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-006-0098-4

Recommendations

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
• Mean-square convergence and stability of the balanced method for stochastic delay differential equations
• scientific article

zbMATH Keywords

stabilitynumerical examplestochastic differential equationsbalanced methodDuffing-Van der Pol oscillator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) 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

• Title not available (Why is that?)
• Title not available (Why is that?)
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Implicit stochastic Runge-Kutta methods for stochastic differential equations

Cited In (38)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
• Reduced-order modelling numerical homogenization
• Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• T-stability of the Heun method and balanced method for solving stochastic differential delay equations
• Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
• On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
• Numerical approximation of high-dimensional Fokker-Planck equations with polynomial coefficients
• Split-step backward balanced Milstein methods for stiff stochastic systems
• An error corrected Euler-Maruyama method for stiff stochastic differential equations
• Split-step double balanced approximation methods for stiff stochastic differential equations
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Improving split-step forward methods by ODE solver for stiff stochastic differential equations
• A class of split-step balanced methods for stiff stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• A new note on a homogeneous balance method
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• An improved Milstein method for stiff stochastic differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• First-order weak balanced schemes for stochastic differential equations
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation
• A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
• A method for determining the effect of imbalance
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
• Construction of positivity preserving numerical method for stochastic age-dependent population equations
• A balancing strategy
• Approximating explicitly the mean-reverting CEV process

This page was built for publication: A note on the balanced method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855290)