Mean square stability of second-order weak numerical methods for stochastic differential equations.

DOI10.1016/J.APNUM.2003.10.006zbMath1042.65013OpenAlexW2056289616MaRDI QIDQ1427203

Marwan I. Abukhaled

Publication date: 14 March 2004

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2003.10.006

zbMATH Keywords

Numerical examples

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations

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