Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations

DOI10.1016/j.cam.2015.01.016zbMath1330.65014OpenAlexW2059884443MaRDI QIDQ491006

Saúl Díaz-Infante, Silvia Jerez

Publication date: 24 August 2015

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.2015.01.016

zbMATH Keywords

convergenceasymptotic stabilitystochastic differential equationslogistic equationexplicit methodsBD simulation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

The linear Steklov method for SDEs with non-globally Lipschitz coefficients: strong convergence and simulation ⋮ Stochastic asymptotic analysis of a multi-host model with vector transmission ⋮ Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation ⋮ Analytical and numerical investigation of stochastic differential equations with applications using an exponential Euler-Maruyama approach ⋮ Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties ⋮ Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise ⋮ Editorial: Mathematical modeling and computational methods

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