Stabilized explicit methods for the approximation of stochastic systems driven by small additive noises

H. de la Cruz

Chaos, Solitons & Fractals, 2020, vol. 140, issue C

Abstract: We develop an approach for the construction of stable numerical schemes for the strong approximation of stochastic differential systems with small additive noises. Explicit integrators with valuable stability properties are proposed and their mean-square convergence is studied. Computer simulations are carry out to illustrate the practical performance of the methods and their advantages in comparison with other existing integrators.

Keywords: Stochastic differential equations; Stability; Small noises; Computer simulation; Local linearization approach; Additive noise (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920305919

DOI: 10.1016/j.chaos.2020.110195

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