Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
DOI10.22034/cmde.2021.44264.1871OpenAlexW3168692760MaRDI QIDQ5884008
Unnamed Author, Davood Ahmadian
Publication date: 19 March 2023
Full work available at URL: https://cmde.tabrizu.ac.ir/article_12795_9559094b92e1a4a9ac2593e810f98459.pdf
convergencestochastic differential equationsmean-square stabilitystochastic Runge-Kutta schemesItô-Taylor expansion
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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