EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS (Q4796574)
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scientific article; zbMATH DE number 1876919
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS |
scientific article; zbMATH DE number 1876919 |
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EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS (English)
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25 May 2003
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systems of Itô stochastic differential equations
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second-order weak numerical methods
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Wiener process
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multiplicative noise
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numerical stability in expectation
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region of expectation stability
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Runge-Kutta methods
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order of convergence
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eigenvalues
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stochastic asymptotic stability
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