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A note on the Balanced method

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Abstract

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.

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Authors and Affiliations

  1. UQ Business School, University of Queensland, Brisbane, 4072, Australia

    Jamie Alcock

  2. Advanced Computational Modelling Centre, University of Queensland, Brisbane, 4072, Australia

    Kevin Burrage

Authors
  1. Jamie Alcock
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  2. Kevin Burrage
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Correspondence to Jamie Alcock.

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AMS subject classification (2000)

65C30, 65L07

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Alcock, J., Burrage, K. A note on the Balanced method . Bit Numer Math 46, 689–710 (2006). https://doi.org/10.1007/s10543-006-0098-4

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  • DOI: https://doi.org/10.1007/s10543-006-0098-4

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