Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems (Q935778): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 17:46, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems |
scientific article |
Statements
Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems (English)
0 references
8 August 2008
0 references
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.
0 references
mean-square stability
0 references
second-order Runge-Kutta methods
0 references
multi-dimensional linear stochastic differential systems
0 references
one multiplicative noise
0 references
numerical experiments
0 references
