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

DOI10.1016/j.cam.2016.01.043zbMath1382.65017OpenAlexW2279424237MaRDI QIDQ268307

A. S. Fatemion Aghda, Mohammed Hosseini Ali Abadi

Publication date: 14 April 2016

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.2016.01.043

zbMATH Keywords

MS-stabilitynormal and non-normal test systemssemi-implicit Taylor schemesstochastic differential equation (SDE)

Mathematics Subject Classification ID

Stability of solutions to ordinary differential equations (34D20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Solving the stochastic differential systems with modified split-step Euler-Maruyama method

Uses Software

• Eigtool

Cites Work

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