An error corrected Euler-Maruyama method for stiff stochastic differential equations
暂无分享,去创建一个
[1] A. Abdulle,et al. Stabilized methods for stiff stochastic systems , 2007 .
[2] Desmond J. Higham,et al. Mean-Square and Asymptotic Stability of the Stochastic Theta Method , 2000, SIAM J. Numer. Anal..
[3] Tianhai Tian,et al. Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations , 2001 .
[4] Yoshihiro Saito,et al. Stability Analysis of Numerical Schemes for Stochastic Differential Equations , 1996 .
[5] A. Abdulle,et al. S-ROCK methods for stiff Ito SDEs , 2008 .
[6] Christian Kahl,et al. Balanced Milstein Methods for Ordinary SDEs , 2006, Monte Carlo Methods Appl..
[7] Sherif I. Rabia,et al. The composite Milstein methods for the numerical solution of Ito stochastic differential equations , 2011, J. Comput. Appl. Math..
[8] P. Kloeden,et al. Higher-order implicit strong numerical schemes for stochastic differential equations , 1992 .
[9] Daniel T Gillespie,et al. Stochastic simulation of chemical kinetics. , 2007, Annual review of physical chemistry.
[10] Peter E. Kloeden,et al. The Numerical Solution of Nonlinear Stochastic Dynamical Systems: a Brief Introduction , 1991 .
[11] R. Spigler,et al. Convergence and stability of implicit runge-kutta methods for systems with multiplicative noise , 1993 .
[12] X. Mao,et al. Stochastic Differential Equations and Applications , 1998 .
[13] Sang Dong Kim,et al. An Error Corrected Euler Method for Solving Stiff Problems Based on Chebyshev Collocation , 2011, SIAM J. Numer. Anal..
[14] Tianhai Tian,et al. The composite Euler method for stiff stochastic differential equations , 2001 .
[15] E. Platen,et al. Balanced Implicit Methods for Stiff Stochastic Systems , 1998 .
[16] D. Wilkinson. Stochastic modelling for quantitative description of heterogeneous biological systems , 2009, Nature Reviews Genetics.
[17] Assyr Abdulle,et al. S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations , 2008, SIAM J. Sci. Comput..
[18] P. Kloeden,et al. Numerical Solution of Stochastic Differential Equations , 1992 .
[19] S. Zacks,et al. Introduction to stochastic differential equations , 1988 .
[20] Xiaojie Wang,et al. A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise , 2012 .
[21] M. E. Thompson,et al. A review on stochastic differential equations for applications in hydrology , 1987 .
[22] M. A. Omar,et al. The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations , 2009, Appl. Math. Comput..
[23] Tianhai Tian,et al. Implicit Taylor methods for stiff stochastic differential equations , 2001 .
[24] G. Mil’shtein. A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations , 1988 .
[25] Jamie Alcock,et al. A note on the Balanced method , 2006 .
[26] M. V. Tretyakov,et al. Stochastic Numerics for Mathematical Physics , 2004, Scientific Computation.