Mean square stability of second-order weak numerical methods for stochastic differential equations.
type: Item
instance of: scholarly article
title: Mean square stability of second-order weak numerical methods for stochastic differential equations.
zbMATH Open document ID: 1042.65013
author: Marwan Abukhaled
published in: Applied Numerical Mathematics
publication date: 2004-03-14T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 2055524
zbMATH Keywords: Numerical examples
MaRDI profile type: Publication
full work available at URL: j.apnum.2003.10.006
OpenAlex ID: W2056289616
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cites work: Q4732346
cites work: Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
cites work: Stability of weak numerical schemes for stochastic differential equations
cites work: Higher-order implicit strong numerical schemes for stochastic differential equations
cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations
cites work: Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
DOI: 10.1016/J.APNUM.2003.10.006
description: scientific article; zbMATH DE number 2055524