Mean-square stability of numerical schemes for stochastic differential systems
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Publication:1411128
zbMath1035.65009MaRDI QIDQ1411128
Yoshihiro Saito, Taketomo Mitsui
Publication date: 22 October 2003
Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)
numerical experimentsmean square stabilityEuler-Maruyama methodsystem of stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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