Split-step double balanced approximation methods for stiff stochastic differential equations
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mean-square convergencenumerical stabilitysplit-step balanced methodstiff equationsstochastic differential equation
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) Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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- scientific article; zbMATH DE number 5812226
Cites work
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- A class of split-step balanced methods for stiff stochastic differential equations
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- A note on the balanced method
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- Balanced Implicit Methods for Stiff Stochastic Systems
- Balanced Milstein Methods for Ordinary SDEs
- Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 940566 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Implicit stochastic Runge-Kutta methods for stochastic differential equations
- Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
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- S-ROCK methods for stiff Itô SDEs
- S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
- Split-step Adams-Moulton Milstein methods for systems of stiff stochastic differential equations
- Split-step backward balanced Milstein methods for stiff stochastic systems
- Strong first order S-ROCK methods for stochastic differential equations
Cited in
(17)- Split-step backward balanced Milstein methods for stiff stochastic systems
- Improving split-step forward methods by ODE solver for stiff stochastic 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
- A class of split-step balanced methods for stiff stochastic differential equations
- Split-step Milstein methods for multi-channel stiff stochastic differential systems
- Study on split-step Rosenbrock type method for stiff stochastic differential systems
- An explicit split-step truncated Milstein method for stochastic differential equations
- 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
- Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case
- Enhancing the Euler-Maruyama integrator via a balancing strategy for stochastic Volterra integral equations
- Exploring derivative-free split-step and balanced solvers for Itô stochastic differential equations
- Stability and convergence analysis of stochastic Runge-Kutta and balanced stochastic Runge-Kutta methods for solving stochastic differential equations
- Split-step integrator for generalized stochastic Volterra integro-differential equations
- Convergence and stability of truncated Euler-Maruyama algorithm for stochastic proportional delay Mckean-Vlasov models with jump process
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
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