Balanced implicit methods with strong order 1.5 for solving stochastic differential equations

DOI10.1016/J.CAM.2023.115069zbMath1524.65039MaRDI QIDQ6157960

Huiqun Bai, Quanwei Ren

Publication date: 22 June 2023

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

zbMATH Keywords

stochastic differential equationmean-square convergencemean-square stabilitybalanced implicit methodsplit-step balanced implicit 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)

Cites Work

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