The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

DOI10.1016/j.amc.2009.05.054zbMath1206.65024OpenAlexW2011956677MaRDI QIDQ732414

M. A. Omar, Abdel-Karim Aboul-Hassan, Sherif I. Rabia

Publication date: 9 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.amc.2009.05.054

zbMATH Keywords

convergencenumerical stabilityStratonovich stochastic differential equationscomposite methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations

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