Stability of numerical methods for solving stochastic differential equations

DOI10.1007/BF02104707zbMath0852.65145OpenAlexW2089408984MaRDI QIDQ1920836

S. S. Artem'ev

Publication date: 14 August 1996

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02104707

zbMATH Keywords

stochastic differential equationsstiff systemsRosenbrock methods\(A\)-stabilitymean square stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear ordinary differential equations and systems (34A34) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multiple scale methods for ordinary differential equations (34E13) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)

Cites Work

• Unnamed Item
• On the exponential stability and instability of linear stochastic systems
• A special stability problem for linear multistep methods

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