Study on split-step Rosenbrock type method for stiff stochastic differential systems

被引：13

作者：

Nouri, K. ^{[1
]}

Ranjbar, H. ^{[1
]}

Torkzadeh, L. ^{[1
]}

机构：

[1] Semnan Univ, Fac Math Stat & Comp Sci, Dept Math, POB 35195-363, Semnan, Iran

来源：

INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2020年 / 97卷 / 04期

关键词：

Stiff stochastic differential system; split-step Rosenbrock type method; ODEs solver; mean-square convergence; asymptotically mean-square stability; MILSTEIN METHODS; NON-NEGATIVITY; MARKET MODEL; MEAN-SQUARE; STABILITY; CONVERGENCE; SCHEMES; TIME;

D O I：

10.1080/00207160.2019.1589459

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we present a split-step Rosenbrock type method for stiff stochastic differential systems. The method is proved to be mean-square (MS) convergent with strong order . For one- and two-dimensional Ito test equations with multiplicative noise, we analysis asymptotically MS stability and plot asymptotic MS stability regions. Numerical examples and simulations are given to illustrate the effectiveness of theoretical results.

引用

页码：818 / 836

页数：19

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