Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems
type: Item
instance of: scholarly article
title: Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems
zbMATH Open document ID: 1229.65025
author: Marwan Abukhaled
published in: Journal of the Franklin Institute
publication date: 2011-11-22T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65L20
zbMATH DE Number: 5975790
zbMATH Keywords: mean square stability
zbMATH Keywords: weak convergence
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: infinite logarithmic matrix norm
zbMATH Keywords: numerical examples
MaRDI profile type: Publication
full work available at URL: j.jfranklin.2010.01.011
OpenAlex ID: W2050680733
cites work: EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
cites work: Mean square stability of second-order weak numerical methods for stochastic differential equations.
cites work: Q4732346
cites work: Stability of weak numerical schemes for stochastic differential equations
cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations
cites work: Mean-square stability of numerical schemes for stochastic differential systems
cites work: Q4664297
DOI: 10.1016/J.JFRANKLIN.2010.01.011
description: scientific article; zbMATH DE number 5975790