Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations

DOI10.1016/j.camwa.2012.02.059zbMath1268.60091OpenAlexW2074126939MaRDI QIDQ356150

Cónall Kelly, Evelyn Buckwar

Publication date: 25 July 2013

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.02.059

zbMATH Keywords

linear stability analysisnon-normal coefficientsystems of stochastic differential equationstheta method

Mathematics Subject Classification ID

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

Related Items (15)

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Uses Software

• Eigtool

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