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

DOI10.1007/s40096-021-00392-7zbMath1486.65012OpenAlexW3151188176WikidataQ115374247 ScholiaQ115374247MaRDI QIDQ2140372

Yanyan Li

Publication date: 20 May 2022

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-021-00392-7

zbMATH Keywords

strong convergencemean-square stabilityEuler-Maruyama methodItô stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach

Cites Work

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