Solving the stochastic differential systems with modified split-step Euler-Maruyama method (Q2204416)

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

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title

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

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DOI

10.1016/j.cnsns.2019.105153

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Communications in Nonlinear Science and Numerical Simulation

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publication date

15 October 2020

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Mathematics Subject Classification ID

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stochastic differential system

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split-step Euler-Maruyama

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strong convergence order

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asymptotic 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/10.1016/j.cnsns.2019.105153

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Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations

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Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

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Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems

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The composite Euler method for stiff stochastic differential equations

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Uncertainty quantification for nonlinear difference equations with dependent random inputs via a stochastic Galerkin projection technique

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Mean square power series solution of random linear differential equations

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Numerical solution of random differential equations: a mean square approach

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Numerical solution of random differential initial value problems: Multistep methods

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A stochastic model for internal HIV dynamics

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

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Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations

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The improved split-step <i>θ</i> methods for stochastic differential equation

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

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Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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

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Stability of regime-switching stochastic differential equations

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Q4942767

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Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations

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Q4369402

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Balanced Implicit Methods for Stiff Stochastic Systems

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Q4826106

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Mean square convergence of the numerical solution of random differential equations

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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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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-square stability of numerical schemes for stochastic differential systems

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Implicit Taylor methods for stiff stochastic differential equations

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

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A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

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Split-step backward balanced Milstein methods for stiff stochastic systems

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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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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mardi Publication:2204416