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

DOI10.1016/j.cnsns.2019.105153OpenAlexW2996684397WikidataQ126538522 ScholiaQ126538522MaRDI QIDQ2204416

Hassan Ranjbar, Leila Torkzadeh, Kazem Nouri

Publication date: 15 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2019.105153

zbMATH Keywords

stochastic differential systemasymptotic mean-square stabilitystrong convergence ordersplit-step Euler-Maruyama

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Mean-square convergence analysis of the semi-implicit scheme for stochastic differential equations driven by the Wiener processes ⋮ Numerical investigation of stochastic canonical Hamiltonian systems by high order stochastic partitioned Runge-Kutta methods ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations

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