Split-step backward balanced Milstein methods for stiff stochastic systems

Applied Numerical Mathematics

Volumn 59, Issue 6, 2009, Pages 1198-1213

  Wang, Peng ^a   Liu, Zhenxin ^a  

^a JILIN UNIVERSITY   (China)

Author keywords

Balanced Milstein method; Mean square stability; Stiff equations; Stochastic differential equations; Stochastic Taylor expansion

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; MEASUREMENT THEORY; RANDOM PROCESSES; SYSTEM STABILITY;

BALANCED MILSTEIN METHOD; MEAN-SQUARE STABILITY; STIFF EQUATIONS; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC TAYLOR EXPANSION;

STOCHASTIC CONTROL SYSTEMS;

EID: 62549097721     PISSN: 01689274     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apnum.2008.06.001     Document Type: Article

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