A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise (Q2516804): Difference between revisions

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English	A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise	scientific article

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scholarly article

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A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise (English)

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Computational and Applied Mathematics

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publication date

4 August 2015

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zbMATH Keywords

stochastic Runge-Kutta methods

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stochastic differential equations

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strong approximation

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mean-square stability

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A-stability

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stiff system

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s40314-014-0140-0

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S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations

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High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations

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Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations

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Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems

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The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations

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A note on the balanced method

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Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

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A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods

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A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems

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Numerical solutions of stochastic differential equations -- implementation and stability issues

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Numerical Methods for Ordinary Differential Equations

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High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise

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Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis

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

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\(A\)-stability of Runge-Kutta methods for systems with additive noise

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Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise

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\(A\)-stability and stochastic mean-square stability

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Discrete Gradient Approach to Stochastic Differential Equations with a Conserved Quantity

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Multi-colored rooted tree analysis of the weak order conditions of a stochastic Runge-Kutta family

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Strong first order \(S\)-ROCK methods for stochastic differential equations

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A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise

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Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise

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Stochastic stabilization and destabilization

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Balanced Implicit Methods for Stiff Stochastic Systems

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Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations

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Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

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Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Mean-square stability of numerical schemes for stochastic differential systems

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A User’s View of Solving Stiff Ordinary Differential Equations

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Implicit Taylor methods for stiff stochastic differential equations

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Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations

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Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

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Three-stage stochastic Runge-Kutta methods for stochastic differential equations

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Split-step backward balanced Milstein methods for stiff stochastic systems

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Computational system identification for Bayesian NARMAX modelling

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Analysis of multiscale methods for stochastic differential equations

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Almost surely asymptotic stability of numerical solutions for neutral stochastic delay differential equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S40314-014-0140-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:2516804

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