An error corrected Euler-Maruyama method for stiff stochastic differential equations

DOI10.1016/j.amc.2015.01.067zbMath1338.65016OpenAlexW1984084225MaRDI QIDQ299692

Zhengwei Yin, Si-qing Gan

Publication date: 22 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.01.067

zbMATH Keywords

asymptotic stabilitystiff stochastic differential equationsmean-square convergencemean-square stabilityerror corrected Euler-Maruyama method

Mathematics Subject Classification ID

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

Related Items (9)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ Explicit Integration of Stiff Stochastic Differential Equations via an Efficient Implementation of Stochastic Computational Singular Perturbation ⋮ Modeling fast diffusion processes in time integration of stiff stochastic differential equations ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Unnamed Item ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The composite Milstein methods for the numerical solution of Itô stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• A note on the balanced method
• A survey of numerical methods for stochastic differential equations
• Numerical solution of stochastic differential equations with jumps in finance
• S-ROCK methods for stiff Itô SDEs
• A review on stochastic differential equations for applications in hydrology
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Stabilized methods for stiff stochastic systems
• An Error Corrected Euler Method for Solving Stiff Problems Based on Chebyshev Collocation
• S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

This page was built for publication: An error corrected Euler-Maruyama method for stiff stochastic differential equations