Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems

DOI10.1002/anac.200310007zbMath1066.65013OpenAlexW2036310826MaRDI QIDQ4653741

Marwan I. Abukhaled

Publication date: 7 March 2005

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

Full work available at URL: https://doi.org/10.1002/anac.200310007

zbMATH Keywords

Runge-Kutta methodsmultiplicative noisemean square stabilitylinear stochastic systemsequidistant discretization methodslinear Itô-type stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic stability in control theory (93E15) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise ⋮ Mean-square stability analysis of numerical schemes for stochastic differential systems ⋮ Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise

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