Split-step double balanced approximation methods for stiff stochastic differential equations

DOI10.1080/00207160.2018.1480761zbMath1499.65012OpenAlexW2804757108MaRDI QIDQ5031844

Amir Haghighi, Andreas Rößler

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1480761

zbMATH Keywords

stochastic differential equationstiff equationsnumerical stabilitymean-square convergencesplit-step balanced method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

Related Items

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems

Uses Software

• RODAS
• S-ROCK

Cites Work

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• Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations
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• Balanced Milstein Methods for Ordinary SDEs

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