Split-step backward balanced Milstein methods for stiff stochastic systems

DOI10.1016/J.APNUM.2008.06.001MaRDI QIDQ1015909zbMATH OpenOpenAlexFDO

Authors Peng Wang, Zhenxin Liu

Publication date 30 April 2009

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2008.06.001

zbMATH Keywords

Itô stochastic differential equationsmean-square stabilitynumerical resultssplit-step backward balanced Milstein methodsstiff equationsstochastic Taylor expansion

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)

Review text

Four families of split-step backward balanced Milstein methods for approximating strong solutions of \(m\)-dimensional Itô stochastic differential equations (SDEs) are presented and shown to converge strongly with order 1. Then mean square stability properties are investigated and compared for these families. Numerical results for two examples illustrate the effectiveness of these methods for stiff SDEs.

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Cites work

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Cited in

(37)

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• 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
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