10.1007/s40096-021-00392-7

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

  • K. Nouri*1,
  1. Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, Semnan, IR

Published in Issue 2021-03-28

How to Cite

Nouri, K. (2021). Improving split-step forward methods by ODE solver for stiff stochastic differential equations. Mathematical Sciences, 16(1 (March 2022). https://doi.org/10.1007/s40096-021-00392-7
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Abstract

Abstract The present paper focuses on the improving split-step forward methods to solve of stiff stochastic differential equations of Itô type. These methods are based on the exponential modified Euler schemes. We show the convergency of our suggested explicit methods to solution of the corresponding stochastic differential equations in strong sense. For a test equation, mean-square stability of schemes are investigated. The numerical examples will be presented to support theoretical findings.

Keywords

  • Itô stochastic differential equations,
  • Euler-Maruyama method,
  • Strong convergence,
  • Mean-square stability

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