Modified stochastic theta methods by ODEs solvers for stochastic differential equations

DOI10.1016/j.cnsns.2018.08.013OpenAlexW2889527109WikidataQ129330441 ScholiaQ129330441MaRDI QIDQ2206168

Hassan Ranjbar, Kazem Nouri, Leila Torkzadeh

Publication date: 21 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.2018.08.013

zbMATH Keywords

stochastic differential equationsstochastic theta methodmean-square convergence and stabilityODEs solver

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Rate of convergence, degree of approximation (41A25)

Related Items (7)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Dynamic behaviours for semi-discrete stochastic Cohen-Grossberg neural networks with time delays ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme ⋮ Random differential equations with discrete delay ⋮ Unnamed Item

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