Add to ORKGWe consider split-step Milstein methods for the solution of stiff stochastic differential equations with an emphasis on systems driven by multi-channel noise. We show their strong order of con-vergence and investigate mean-square stability properties for different noise and drift structures. The stability matrices are established in a form convenient for analyzing their impact arising from different deterministic drift integrators. Numerical examples are provided to illustrate the effectiveness and reliability of these methods
Stabilized or Chebyshev explicit methods have been widely used in the past to solve stiff ordinary d...
AbstractIn this paper, we present the composite Milstein methods for the strong solution of Ito stoc...
This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in ap...
In this paper a family of fully implicit Milstein methods are introduced for solving stiff stochasti...
Abstract. In this paper we discuss Milstein type methods with implicitness for solving Itô stochasti...
The fundamental analysis of numerical methods for stochastic differential equations (SDEs) has been ...
Abstract. In this paper, we consider the problem of computing numerical solutions for stochastic dif...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
none3siIn this paper, we introduce a split-step theta Milstein (SSTM) method for n-dimensional stoch...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
We introduce two approaches by modifying split-step exponential schemes to study stochastic differen...
Recently, split-step techniques have been integrated with a Milstein scheme to improve the fundament...
Abstract. We present an easy to implement drift splitting numerical method for the approxi-mation of...
Beyn W-J, Isaak E, Kruse R. Stochastic C-Stability and B-Consistency of Explicit and Implicit Milste...
Multiscale differential equations arise in the modeling of many important problems in the science an...
Stabilized or Chebyshev explicit methods have been widely used in the past to solve stiff ordinary d...
AbstractIn this paper, we present the composite Milstein methods for the strong solution of Ito stoc...
This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in ap...
In this paper a family of fully implicit Milstein methods are introduced for solving stiff stochasti...
Abstract. In this paper we discuss Milstein type methods with implicitness for solving Itô stochasti...
The fundamental analysis of numerical methods for stochastic differential equations (SDEs) has been ...
Abstract. In this paper, we consider the problem of computing numerical solutions for stochastic dif...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
none3siIn this paper, we introduce a split-step theta Milstein (SSTM) method for n-dimensional stoch...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
We introduce two approaches by modifying split-step exponential schemes to study stochastic differen...
Recently, split-step techniques have been integrated with a Milstein scheme to improve the fundament...
Abstract. We present an easy to implement drift splitting numerical method for the approxi-mation of...
Beyn W-J, Isaak E, Kruse R. Stochastic C-Stability and B-Consistency of Explicit and Implicit Milste...
Multiscale differential equations arise in the modeling of many important problems in the science an...
Stabilized or Chebyshev explicit methods have been widely used in the past to solve stiff ordinary d...
AbstractIn this paper, we present the composite Milstein methods for the strong solution of Ito stoc...
This paper is devoted to investigate the mean square stability of semiimplicit Milstein scheme in ap...