Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

DOI10.1016/J.APNUM.2013.01.004zbMath1270.65004OpenAlexW1989423059MaRDI QIDQ1946154

Yanyan Li

Publication date: 18 April 2013

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.01.004

zbMATH Keywords

numerical experimentsstiff stochastic differential equationsmean-square stabilityweak approximationssemi-implicit schemesstochastic Taylor scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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) Numerical methods for stiff equations (65L04)

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Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations ⋮ Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Unnamed Item

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