Improving split-step forward methods by ODE solver for stiff stochastic differential equations (Q2140372)

scientific article

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English	Improving split-step forward methods by ODE solver for stiff stochastic differential equations	scientific article

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instance of

scholarly article

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title

Improving split-step forward methods by ODE solver for stiff stochastic differential equations (English)

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zbMATH Open document ID

1486.65012

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DOI

10.1007/s40096-021-00392-7

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author

Yanyan Li

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published in

Mathematical Sciences

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publication date

20 May 2022

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Mathematics Subject Classification ID

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Itô stochastic differential equations

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Euler-Maruyama method

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strong convergence

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mean-square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s40096-021-00392-7

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OpenAlex ID

W3151188176

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cites work

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An efficient approach based on radial basis functions for solving stochastic fractional differential equations

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift

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A class of split-step balanced methods for stiff stochastic differential equations

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Split-step double balanced approximation methods for stiff stochastic differential equations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Q4004325

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Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

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Q4826106

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Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps

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Q5155921

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Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea

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Modified stochastic theta methods by ODEs solvers for stochastic differential equations

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Solving the stochastic differential systems with modified split-step Euler-Maruyama method

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Study on split-step Rosenbrock type method for stiff stochastic differential systems

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The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks

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\(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations

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Split-step Milstein methods for multi-channel stiff stochastic differential systems

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Convergence analysis of the space fractional-order diffusion equation based on the compact finite difference scheme

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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On the numerical integration of the undamped harmonic oscillator driven by independent additive Gaussian white noises

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Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations

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Efficient Split Linear Multistep Methods for Stiff Ordinary Differential Equations

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Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations

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Split-step forward methods for stochastic differential equations

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B-convergence of split-step one-leg theta methods for stochastic differential equations

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Strong convergence of the split-step theta method for neutral stochastic delay differential equations

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An error corrected Euler-Maruyama method for stiff stochastic differential equations

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High‐order split‐step theta methods for non‐autonomous stochastic differential equations with non‐globally Lipschitz continuous coefficients

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Numerical solution of the Stratonovich- and Ito-Euler equations: application to the stochastic piston problem

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Wikidata QID

Q115374247

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Sitelinks

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mardi Publication:2140372