The mean-square stability of numerical methods for solving stochastic differential equations

DOI10.1515/rnam.1994.9.5.405zbMath0818.65150OpenAlexW2315450544MaRDI QIDQ4697728

S. S. Artem'ev

Publication date: 8 May 1995

Published in: Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rnam.1994.9.5.405

zbMATH Keywords

numerical examplesasymptotic stabilitystochastic differential equations\(A\)-stability\(A\)-stable methodsmean-square rigid system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

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Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations ⋮ Almost sure asymptotic stability and convergence of stochastic Theta methods applied to systems of linear SDEs in ⋮ Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations ⋮ Mean-square stability properties of an adaptive time-stepping SDE solver ⋮ Almost sure asymptotic stability of drift-implicit \(\theta\)-methods for bilinear ordinary stochastic differential equations in \(\mathbb R^1\)

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