Split-step backward balanced Milstein methods for stiff stochastic systems
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Itô stochastic differential equationsmean-square stabilitynumerical resultssplit-step backward balanced Milstein methodsstiff equationsstochastic Taylor expansion
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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- scientific article; zbMATH DE number 5812226
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Cites work
- A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
- A note on the balanced method
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Approximate Integration of Stochastic Differential Equations
- Balanced Implicit Methods for Stiff Stochastic Systems
- Balanced Milstein Methods for Ordinary SDEs
- Continuous Markov processes and stochastic equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- scientific article; zbMATH DE number 1745051 (Why is no real title available?)
- scientific article; zbMATH DE number 1405267 (Why is no real title available?)
- Implicit stochastic Runge-Kutta methods for stochastic differential equations
- Implicit Taylor methods for stiff stochastic differential equations
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
- Stratonovich and Ito Stochastic Taylor Expansions
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- The composite Euler method for stiff stochastic differential equations
- Three-stage stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
Cited in
(37)- Split-step backward balanced Milstein methods for stiff stochastic systems
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- Implicit numerical solutions for solving stochastic differential equations with jumps
- A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Split-step \({\theta}\)-method for stochastic delay differential equations
- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- The improved split-step θ methods for stochastic differential equation
- Stabilized Milstein type methods for stiff stochastic systems
- scientific article; zbMATH DE number 5812226 (Why is no real title available?)
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS- method
- A class of split-step balanced methods for stiff stochastic differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- scientific article; zbMATH DE number 6164564 (Why is no real title available?)
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- Split-step double balanced approximation methods for stiff stochastic differential equations
- General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
- Modifying the split-step -method with harmonic-mean term for stochastic differential equations
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
- Balanced Milstein Methods for Ordinary SDEs
- A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
- Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
- The composite Milstein methods for the numerical solution of Itô stochastic differential equations
- An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Optimal mean square E-stability of some balanced midpoint Milstein methods for stochastic differential equations in \(\mathbb{C}^1\)
- Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations
- Mean square A- and L-stability of balanced midpoint Milstein methods for one-dimensional bi-linear stochastic differential equations
- Balanced implicit two-step Maruyama methods for stochastic differential equations
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- Split-step forward methods for stochastic differential equations
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
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