Split-step backward balanced Milstein methods for stiff stochastic systems
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numerical resultsmean-square stabilitystiff equationsstochastic Taylor expansionsplit-step backward balanced Milstein methodsItô stochastic differential equations
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
- 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?)
- 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
- Implicit Taylor methods for stiff stochastic differential equations
- Implicit stochastic Runge-Kutta methods for 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
(33)- A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Stabilized Milstein type methods for stiff stochastic systems
- Split-step double balanced approximation methods for stiff stochastic differential equations
- Split-step forward methods for stochastic differential equations
- A class of balanced stochastic Runge-Kutta methods for stiff SDE systems
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Balanced Milstein Methods for Ordinary SDEs
- Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
- Balanced implicit methods with strong order 1.5 for solving stochastic differential equations
- The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients
- Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method
- The composite Milstein methods for the numerical solution of Itô stochastic differential equations
- Mean-square stability of split-step theta Milstein methods for stochastic differential equations
- scientific article; zbMATH DE number 5812226 (Why is no real title available?)
- Solving the stochastic differential systems with modified split-step Euler-Maruyama method
- A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
- General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
- Split-step Adams-Moulton Milstein methods for systems of 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
- Modifying the split-step \(\theta \)-method with harmonic-mean term for stochastic differential equations
- A class of split-step balanced methods for stiff stochastic differential equations
- A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations
- Split-step \({\theta}\)-method for stochastic delay differential equations
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
- The improved split-step θ methods for stochastic differential equation
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