A note on the Balanced method
Contribuinte(s) |
A. Ruhe |
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Data(s) |
01/12/2006
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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 | |
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 |