位置：成果数据库 > 期刊 > 期刊详情页
A family of fully implicit Milstein methods for stiff stochastic differential equations with multipl
  • ISSN号：0006-3835
  • 期刊名称：BIT Numerical Mathematics
  • 时间：2012.9
  • 页码：741-772
  • 相关项目：刚性随机微分方程的数值分析
作者： Wang, Xiaojie|Gan, Siqing|Wang, Desheng|
同期刊论文项目
刚性随机微分方程的数值分析
期刊论文 35
同项目期刊论文
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
高斯型数值求积公式的校正
An efficient semi-analytical simulation for the Heston model
随机延迟积分微分方程改进分步向后Euler方法的均方指数稳定性
Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
A Runge-Kutta type scheme for nonlinear stochastic partial differential equations with multiplicativ
The tamed Milstein method for commutative stochastic differential equations with non-globally Lipsch
Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
An improved Milstein method for stiff stochastic differential equations
θ-Maruyama methods for nonlinear stochastic differential delay equations
Higher order strong approximations of semilinear stochastic wave equation with additive space-time
An error corrected Euler–Maruyama method for stiff stochastic differential equations
Compensated stochastic theta methods for stochastic differential delay equations with jumps
Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial diff
Dissipativity of the backward Euler method for nonlinear Volterra functional differentialequations i
Chebyshev spectral collocation method for stochastic delay differential equations
Stability of Analytical and Numerical Solutions for Nonlinear Stochastic Delay Differential Equation
线性随机分数阶微分方程Euler方法的弱收敛性与弱稳定性
一类随机分数阶微分方程隐式Euler方法的弱收敛性与弱稳定性
中立型随机延迟微分方程θ-方法的均方稳定性
Weak error estimates of the exponential Euler scheme for semi-linear SPDES without Malliavin calculu
General Modified Split-Step Balanced Methods for Stiff Stochastic Differential Equations
Poisson跳的随机延迟微分方程 Heun方法的均方收敛性
A second-order BDF compact difference scheme for fractional-order Volterra equations
A note on an accelerated exponential Euler method for parabolic SPDEs with additive noise
Analytical approximation for distorted expectations
A class of symplectic partitioned Runge-Kutta methods
An exponential integrator scheme for time discretization of nonlinear stochastic wave equation
Poisson跳的随机延迟微分方程Heun方法的均方收敛性