Geodesic
Balanced-Euler approximation schemes for stiff systems of stochastic differential equations
Filomat, Tome 36 (2022) no. 19, p. 6791

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DOI

This paper aims to design new families of balanced-Euler approximation schemes for the solutions of stiff stochastic differential systems. To prove the mean-square convergence, we use some fundamental inequalities such as the global Lipschitz condition and linear growth bound. The mean-square stability properties of our new schemes are analyzed. Also, numerical examples illustrate the accuracy and efficiency of the proposed schemes.
DOI : 10.2298/FIL2219791R
Classification : 60H10, 41A25, 93E15
Keywords: Stiff stochastic differential equation, Balanced-Euler approximation scheme, Mean-square convergence, Mean-square stability 
Hassan Ranjbar; Leila Torkzadeh; Kazem Nouri. Balanced-Euler approximation schemes for stiff systems of stochastic differential equations. Filomat, Tome 36 (2022) no. 19, p. 6791 . doi: 10.2298/FIL2219791R
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     author = {Hassan Ranjbar and Leila Torkzadeh and Kazem Nouri},
     title = {Balanced-Euler approximation schemes for stiff systems of stochastic differential equations},
     journal = {Filomat},
     pages = {6791 },
     year = {2022},
     volume = {36},
     number = {19},
     doi = {10.2298/FIL2219791R},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2219791R/}
}
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