Balanced-Euler Approximation Schemes for Stiff Systems of Stochastic Differential Equations

被引：0

作者：

Ranjbar, Hassan ^{[1
]}

Torkzadeh, Leila ^{[1
]}

Nouri, Kazem ^{[1
]}

机构：

[1] Semnan Univ, Dept Math, Fac Math Stat & Comp Sci, POB 35195-363, Semnan, Iran

来源：

FILOMAT | 2022年 / 36卷 / 19期

关键词：

Stiff stochastic differential equation; Balanced-Euler approximation scheme; Mean-square convergence; Mean-square stability; SPLIT-STEP; MEAN-SQUARE; STABILITY ANALYSIS; NUMERICAL SCHEMES; THETA-METHOD; CONVERGENCE; SDES;

D O I：

10.2298/FIL2219791R

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper aims to design new families of balanced-Euler approximation schemes for the solutions of stiff stochastic differential systems. To prove the mean-square convergence, we use some fundamental inequalities such as the global Lipschitz condition and linear growth bound. The meansquare stability properties of our new schemes are analyzed. Also, numerical examples illustrate the accuracy and efficiency of the proposed schemes.

引用

页码：6791 / 6804

页数：14

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