Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations

DOI10.1016/j.cam.2013.10.002zbMath1293.65012OpenAlexW1993659833MaRDI QIDQ2511208

M. J. Senosiain, Alicia Tocino

Publication date: 5 August 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.002

zbMATH Keywords

stochastic differential equationsmean-square stabilitytwo-step methodstochastic Adams-Bashforth methodstochastic Adams-Moulton methodstochastic BDF scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Two-step strong order 1.5 schemes for stochastic differential equations ⋮ Asymptotic mean‐square boundedness of the numerical solutions for stochastic complex‐valued neural networks with jumps ⋮ Two-step Runge-Kutta methods for stochastic differential equations ⋮ Two-step Maruyama schemes for nonlinear stochastic differential delay equations ⋮ Exponential mean-square stability properties of stochastic linear multistep methods ⋮ Generalized two-step Maruyama methods for stochastic differential equations ⋮ Two-step Milstein schemes for stochastic differential equations ⋮ Generalized two-step Milstein methods for stochastic differential equations

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