Split-step forward methods for stochastic differential equations

DOI10.1016/J.CAM.2009.11.010zbMath1185.60066OpenAlexW1968900640MaRDI QIDQ847245

Yong Li, Peng Wang

Publication date: 12 February 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.11.010

zbMATH Keywords

stabilitystochastic differential equationssplit-step methodEuler-Maruyama methodMilstein 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)

Related Items (17)

Improving split-step forward methods by ODE solver for stiff stochastic differential equations ⋮ The improved split-step θ methods for stochastic differential equation ⋮ Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Split-step \(\theta\)-methods for stochastic age-dependent population equations with Markovian switching ⋮ \(T\)-stability of the split-step \(\theta\)-methods for linear stochastic delay integro-differential equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Split-step \({\theta}\)-method for stochastic delay differential equations ⋮ Split-step Milstein methods for multi-channel stiff stochastic differential systems ⋮ Five-stage Milstein methods for SDEs ⋮ The split-step \(\theta \)-methods for stochastic delay Hopfield neural networks ⋮ Unnamed Item ⋮ Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea ⋮ Unnamed Item ⋮ A class of balanced stochastic Runge-Kutta methods for stiff SDE systems

Cites Work

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• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
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