Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler–Maruyama approach-Reference-Cited by-同舟云学术

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Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler–Maruyama approach

Published:2022-12-27 Issue:1 Volume:42 Page:
ISSN:2238-3603
Container-title:Computational and Applied Mathematics
language:en
Short-container-title:Comp. Appl. Math.

Author:

Ranjbar H.,Torkzadeh L.^ORCID,Nouri K.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics

Link

https://link.springer.com/content/pdf/10.1007/s40314-022-02164-y.pdf

Reference43 articles.

1. Abdulle A, Cirilli S (2008) S-ROCK: Chebyshev methods for stiff stochastic differential equations. SIAM J Sci Comput 30(2):997–1014

2. Abdulle A, Li T (2008) S-ROCK methods for stiff Itô SDEs. Commun Math Sci 6(4):845–868

3. Abdulle A, Vilmart G, Zygalakis KC (2013) Weak second order explicit stabilized methods for stiff stochastic differential equations. SIAM J Sci Comput 35(4):1792–1814

4. Abdulle A, Almuslimani I, Vilmart G (2018) Optimal explicit stabilized integrator of weak order 1 for stiff and ergodic stochastic differential equations. SIAM/ASA J Uncertain Quantif 6(2):937–964

5. Arnold L (1974) Stochastic differential equations: theory and applications. John Wiley & Sons, New York

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