Split-step backward balanced Milstein methods for stiff stochastic systems

DOI10.1016/j.apnum.2008.06.001zbMath1166.65003OpenAlexW2044357191MaRDI QIDQ1015909

Zhenxin Liu, Peng Wang

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

numerical resultsstochastic Taylor expansionstiff equationsmean-square stabilityItô stochastic differential equationssplit-step backward balanced Milstein methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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