Solving the stochastic differential systems with modified split-step Euler-Maruyama method
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asymptotic mean-square stabilitysplit-step Euler-Maruyamastochastic differential systemstrong convergence order
Generation, random and stochastic difference and differential equations (37H10) 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)
Cites work
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- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
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- Implicit Taylor methods for stiff stochastic differential equations
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Cited in
(6)- Improving split-step forward methods by ODE solver for stiff stochastic differential equations
- Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods
- Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
- Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes
- An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Split-step integrator for generalized stochastic Volterra integro-differential equations
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