Add to ORKGIn this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Ito form. A fully explicit method, the split-step forward Milstein (SSFM) method, is constructed for solving SDEs. It is proved that the SSFM method is convergent with strong order gamma = 1 in the mean-square sense. The analysis of stability shows that the mean-square stability properties of the method proposed in this paper are an improvement on the mean-square stability properties of the Milstein method and three stage Milstein methods
Beyn W-J, Isaak E, Kruse R. Stochastic C-Stability and B-Consistency of Explicit and Implicit Milste...
We consider split-step Milstein methods for the solution of stiff stochastic differential equations ...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
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 Ito stochastic different...
AbstractIn this paper, we present the composite Milstein methods for the strong solution of Ito stoc...
The fundamental analysis of numerical methods for stochastic differential equations (SDEs) has been ...
none3siIn this paper, we introduce a split-step theta Milstein (SSTM) method for n-dimensional stoch...
We introduce two approaches by modifying split-step exponential schemes to study stochastic differen...
AbstractIn this paper, we construct a new split-step method for solving stochastic differential equa...
AbstractIn this paper we discuss split-step forward methods for solving Itô stochastic differential ...
Recently, split-step techniques have been integrated with a Milstein scheme to improve the fundament...
Abstract: This paper examines the effect of varying stepsizes in finding the approximate solution of...
Abstract. In this paper we discuss Milstein type methods with implicitness for solving Itô stochasti...
Beyn W-J, Isaak E, Kruse R. Stochastic C-Stability and B-Consistency of Explicit and Implicit Milste...
We consider split-step Milstein methods for the solution of stiff stochastic differential equations ...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
In this paper, we consider the problem of computing numerical solutions for stochastic differential ...
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 Ito stochastic different...
AbstractIn this paper, we present the composite Milstein methods for the strong solution of Ito stoc...
The fundamental analysis of numerical methods for stochastic differential equations (SDEs) has been ...
none3siIn this paper, we introduce a split-step theta Milstein (SSTM) method for n-dimensional stoch...
We introduce two approaches by modifying split-step exponential schemes to study stochastic differen...
AbstractIn this paper, we construct a new split-step method for solving stochastic differential equa...
AbstractIn this paper we discuss split-step forward methods for solving Itô stochastic differential ...
Recently, split-step techniques have been integrated with a Milstein scheme to improve the fundament...
Abstract: This paper examines the effect of varying stepsizes in finding the approximate solution of...
Abstract. In this paper we discuss Milstein type methods with implicitness for solving Itô stochasti...
Beyn W-J, Isaak E, Kruse R. Stochastic C-Stability and B-Consistency of Explicit and Implicit Milste...
We consider split-step Milstein methods for the solution of stiff stochastic differential equations ...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...