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 | |
| 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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