@Article{IJNAM-17-662,
author = {Nouri , KazemRanjbar , Hassan and Carlos Cortés López , Juan},
title = {Modifying the Split-Step $θ$-Method with Harmonic-Mean Term for Stochastic Differential Equations},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2020},
volume = {17},
number = {5},
pages = {662--678},
abstract = {<p style="text-align: justify;">In this paper, we design a class of general split-step methods for solving Itô stochastic differential systems, in which the drift or deterministic increment function can be taken
from special ordinary differential equations solver, based on the harmonic-mean. This method is
justified to have a strong convergence order of $\frac{1}{2}$. Further, we investigate mean-square stability
of the proposed method for linear scalar stochastic differential equation. Finally, some examples
are included to demonstrate the validity and efficiency of the introduced scheme.<br/></p>},
issn = {2617-8710},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnam/17874.html}
}