A class of split-step balanced methods for stiff stochastic differential equations

DOI10.1007/S11075-012-9534-5zbMath1408.65006OpenAlexW2047293380MaRDI QIDQ451801

Amir Haghighi, Mohammed Hosseini Ali Abadi

Publication date: 24 September 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-012-9534-5

zbMATH Keywords

stochastic differential equationsstiff equationsmean-square stabilitysplit-step balanced methods

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (17)

Split-step double balanced approximation methods for stiff stochastic differential equations ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Solving the stochastic differential systems with modified split-step Euler-Maruyama method ⋮ Modified stochastic theta methods by ODEs solvers for stochastic differential equations ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Implicit numerical solutions for solving stochastic differential equations with jumps ⋮ Split-step Milstein methods for multi-channel stiff stochastic differential systems ⋮ Almost sure stability with general decay rate of exact and numerical solutions for stochastic pantograph differential equations ⋮ A family of fully implicit strong Itô-Taylor numerical methods for stochastic differential equations ⋮ Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations ⋮ Unnamed Item ⋮ A class of balanced stochastic Runge-Kutta methods for stiff SDE systems ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Uses Software

• RODAS

Cites Work

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• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations

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