Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

被引：0
作者：
Jamie Alcock
Kevin Burrage
机构：
[1] The University of Cambridge,COMLAB and Oxford Centre for Integrative Systems Biology
[2] The University of Queensland,undefined
[3] Oxford University and Institute for Molecular Bioscience,undefined
[4] Queensland University of Technology,undefined
来源：
BIT Numerical Mathematics | 2012年 / 52卷
关键词：
Stochastic differential equations; Numerical methods; Stability; 65C30; 65L07;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The Balanced method was introduced as a class of quasi-implicit methods, based upon the Euler-Maruyama scheme, for solving stiff stochastic differential equations. We extend the Balanced method to introduce a class of stable strong order 1.0 numerical schemes for solving stochastic ordinary differential equations. We derive convergence results for this class of numerical schemes. We illustrate the asymptotic stability of this class of schemes is illustrated and is compared with contemporary schemes of strong order 1.0. We present some evidence on parametric selection with respect to minimising the error convergence terms. Furthermore we provide a convergence result for general Balanced style schemes of higher orders.
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页码：539 / 557
页数：18
相关论文
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