A note on the Balanced method


Autoria(s): Alcock, Jamie; Burrage, Kevin
Contribuinte(s)

A. Ruhe

Data(s)

01/12/2006

Resumo

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.

Identificador

http://espace.library.uq.edu.au/view/UQ:79181

Idioma(s)

eng

Publicador

Springer-Verlag Dordrecht

Palavras-Chave #Computer Science #Mathematics, Applied #Numerical Methods #Stability #stochastic differential equations #Numerical Schemes #Software Engineering #C1 #230116 Numerical Analysis #780101 Mathematical sciences
Tipo

Journal Article