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A class of split-step balanced methods for stiff stochastic differential equations

✍ Scribed by Amir Haghighi, S. Mohammad Hosseini


Book ID
118807606
Publisher
Springer US
Year
2012
Tongue
English
Weight
425 KB
Volume
61
Category
Article
ISSN
1017-1398

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In this paper we discuss split-step forward methods for solving ItΓ΄ stochastic differential equations (SDEs). Eight fully explicit methods, the drifting split-step Euler (DRSSE) method, the diffused split-step Euler (DISSE) method and the three-stage Milstein (TSM 1a -TSM 1f) methods, are constructe