On the stability of some second order numerical methods for weak approximation of Itô SDEs

DOI10.1007/S11075-010-9417-6zbMath1219.65008OpenAlexW2039421080MaRDI QIDQ535255

Amir Haghighi, Mohammed Hosseini Ali Abadi

Publication date: 11 May 2011

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-010-9417-6

zbMATH Keywords

weak convergenceasymptotic stabilitystochastic differential equationsstochastic stabilitypredictor-corrector methodsMS-stability

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations ⋮ A class of split-step balanced methods for stiff stochastic differential equations ⋮ A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems ⋮ Non-diminishing relative error of the predictor-corrector algorithm for certain fractional differential equations ⋮ Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise ⋮ Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems

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