Improving split-step forward methods by ODE solver for stiff stochastic differential equations

Nouri, Kazem

doi:10.1007/s40096-021-00392-7

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2022

2024

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Cited by 6 publications

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“…In the last two decades, the explicit type of numerical schemes for sti SODEs has attracted many researchers' attention see [25][26][27], for example. ODE solvers are the key to the success of this kind of numerical scheme.…”

Section: Introductionmentioning

confidence: 99%

Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics

Ranjbar

Nouri

Torkzadeh

2022

Mathematical Problems in Engineering

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In the present investigation, new explicit approaches by the Milstein method and increment function of the Jacobian derivative of the drift coefficient are designed. Several numerical tests such as Cox–Ingersoll–Ross process, stochastic Brusselator, and Davis-Skodje system are presented to illustrate the accuracy and the efficiency of our schemes. Furthermore, we show that the strong convergence rate of our procedures is approximately one.

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Section: Introductionmentioning

confidence: 99%

Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics

Ranjbar

Nouri

Torkzadeh

2022

Mathematical Problems in Engineering

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An exponential split-step double balanced $$\vartheta $$ Milstein scheme for SODEs with locally Lipschitz continuous coefficients

Ranjbar

2024

J. Appl. Math. Comput.

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An explicit two-stage truncated Runge–Kutta method for nonlinear stochastic differential equations

Haghighi

2023

Math Sci

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Improving split-step forward methods by ODE solver for stiff stochastic differential equations

Cited by 6 publications

References 39 publications

Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics

Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics

An exponential split-step double balanced $$\vartheta $$ Milstein scheme for SODEs with locally Lipschitz continuous coefficients

An explicit two-stage truncated Runge–Kutta method for nonlinear stochastic differential equations

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