Study on split-step Rosenbrock type method for stiff stochastic differential systems
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Publication:5030526
DOI10.1080/00207160.2019.1589459zbMath1492.60177OpenAlexW2918246480WikidataQ128306805 ScholiaQ128306805MaRDI QIDQ5030526
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Publication date: 17 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2019.1589459
mean-square convergenceODEs solverasymptotically mean-square stabilitysplit-step Rosenbrock type methodstiff stochastic differential system
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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