EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1081/SAP-120006103zbMath1011.60041MaRDI QIDQ4796574

Edward J. Allen, Marwan I. Abukhaled

Publication date: 25 May 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Wiener processeigenvaluesRunge-Kutta methodsorder of convergencemultiplicative noisestochastic asymptotic stabilitysystems of Itô stochastic differential equationsnumerical stability in expectationregion of expectation stabilitysecond-order weak numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family ⋮ Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems ⋮ Mean square stability of second-order weak numerical methods for stochastic differential equations. ⋮ Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

Cites Work

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• A survey of numerical methods for stochastic differential equations
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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