A note on the balanced method

Jamie Alcock; Kevin Burrage

doi:10.1007/s10543-006-0098-4

A note on the balanced method

Jamie Alcock^*, Kevin Burrage

^*Corresponding author for this work

Mathematics

Research output: Contribution to journal › Article › peer-review

46 Citations (Scopus)

Abstract

Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

Original language	English
Pages (from-to)	689-710
Number of pages	22
Journal	BIT Numerical Mathematics
Volume	46
Issue number	4
DOIs	https://doi.org/10.1007/s10543-006-0098-4
Publication status	Published - Dec 2006

Keywords

Numerical methods
Stability
Stochastic differential equations

ASJC Scopus subject areas

Software
Computer Networks and Communications
Computational Mathematics
Applied Mathematics

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10.1007/s10543-006-0098-4

Cite this

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abstract = "Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.",

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AB - Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.

KW - Numerical methods

KW - Stability

KW - Stochastic differential equations

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DO - 10.1007/s10543-006-0098-4

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JO - BIT Numerical Mathematics

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A note on the balanced method

Abstract

Keywords

ASJC Scopus subject areas

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