A note on the Balanced method

被引：54

作者：

Alcock, Jamie ^{[1
]}

Burrage, Kevin

机构：

[1] Univ Queensland, UQ Business Sch, Brisbane, Qld 4072, Australia

[2] Univ Queensland, Adv Computat Modelling Ctr, Brisbane, Qld 4072, Australia

来源：

BIT NUMERICAL MATHEMATICS | 2006年 / 46卷 / 04期

关键词：

stochastic differential equations; numerical methods; stability;

D O I：

10.1007/s10543-006-0098-4

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

引用

页码：689 / 710

页数：22

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