Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems

DOI10.1016/J.JFRANKLIN.2010.01.011zbMath1229.65025OpenAlexW2050680733MaRDI QIDQ647952

Marwan I. Abukhaled

Publication date: 22 November 2011

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2010.01.011

zbMATH Keywords

weak convergencenumerical examplesstochastic differential equationsmean square stabilityinfinite logarithmic matrix norm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Mean-square stability of numerical schemes for stochastic differential systems
• Mean square stability of second-order weak numerical methods for stochastic differential equations.
• EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations

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