An improved Milstein method for stiff stochastic differential equations

DOI10.1186/s13662-015-0699-9zbMath1422.60110OpenAlexW2186386265WikidataQ59435959 ScholiaQ59435959MaRDI QIDQ1795526

Zhengwei Yin, Si-qing Gan

Publication date: 16 October 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-015-0699-9

zbMATH Keywords

strong convergencestochastic differential equationsstiffnessmean-square stabilityimproved Milstein method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise ⋮ Numerical methods for simulation of stochastic differential equations ⋮ Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation

Uses Software

• S-ROCK

Cites Work

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