Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems (Q935778): Difference between revisions

The authors investigate the mean-square stability of second-order Runge-Kutta schemes for multi-dimensional linear stochastic differential equations with one multiplicative noise. They give the stability criteria backed up with numerical experiments.

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reviewed by

Jialin Hong

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zbMATH Keywords

mean-square stability

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second-order Runge-Kutta methods

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multi-dimensional linear stochastic differential systems

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one multiplicative noise

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numerical experiments

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2007.07.019

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cites work

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

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On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise

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A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations

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Q4404205

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Q3687624

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Q4732346

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Stochastic integral

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Stahle ROW-Type Weak Scheme for Stochastic Differential Equations

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Some issues in discrete approximate solution for stochastic differential equations

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Q4002473

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Q4002301

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Q4319807

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

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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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Q2784993

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

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Runge-Kutta methods for numerical solution of stochastic differential equations

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Weak Second Order Conditions for Stochastic Runge--Kutta Methods

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Identifiers

zbMATH Open document ID

1148.65006

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Mathematics Subject Classification ID

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10.1016/J.CAM.2007.07.019

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Sitelinks

Mathematics(1 entry)

mardi Publication:935778

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-Krishnan Balachandran
@@ Property / author: Krishnan Balachandran / rank @@
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+Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems
+Normal rank
@@ Property / cites work @@
+On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise
+Normal rank
@@ Property / cites work @@
+A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4404205
@@ Property / cites work: Q4404205 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3687624
@@ Property / cites work: Q3687624 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4732346
@@ Property / cites work: Q4732346 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Stochastic integral
@@ Property / cites work: Stochastic integral / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Some issues in discrete approximate solution for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4002473
@@ Property / cites work: Q4002473 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002301
@@ Property / cites work: Q4002301 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean-square stability of numerical schemes for stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Q2784993
@@ Property / cites work: Q2784993 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for numerical solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Weak Second Order Conditions for Stochastic Runge--Kutta Methods
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2007.07.019
@@ Property / DOI: 10.1016/J.CAM.2007.07.019 / rank @@
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