Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations (Q2434943): Difference between revisions

Latest revision as of 07:12, 7 July 2024

scientific article

Language	Label	Description	Also known as
English	Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations	scientific article

Statements

instance of

scholarly article

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title

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

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author

Assyr Abdulle

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Gilles Vilmart

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Konstantinos C. Zygalakis

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published in

BIT

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publication date

3 February 2014

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zbMATH Keywords

drift-implicit stochastic methods

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mean-square stability

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stiff systems

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Itô stochastic differential equations

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describes a project that uses

S-ROCK

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RODAS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10543-013-0430-8

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cites work

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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S-ROCK methods for stiff Itô SDEs

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Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations

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Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

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Q4404205

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Numerical methods for strong solutions of stochastic differential equations: an overview

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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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Q3764976

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Solving Ordinary Differential Equations I

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Solving Ordinary Differential Equations II

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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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Q4004325

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Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations

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Stahle ROW-Type Weak Scheme for Stochastic Differential Equations

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Weak Approximation of Solutions of Systems of Stochastic Differential Equations

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Q4826106

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Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Q3331110

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

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Identifiers

zbMATH Open document ID

1367.65011

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DOI

10.1007/s10543-013-0430-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2434943

@@ Property / cites work @@
+S-ROCK: Chebyshev Methods for Stiff Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+High Weak Order Methods for Stochastic Differential Equations Based on Modified Equations
+Normal rank
@@ Property / cites work @@
+S-ROCK methods for stiff Itô SDEs
@@ Property / cites work: S-ROCK methods for stiff Itô SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Second Order Explicit Stabilized Methods for Stiff Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stable strong order 1.0 schemes for solving stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Q4404205
@@ Property / cites work: Q4404205 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for strong solutions of stochastic differential equations: an overview
+Normal rank
@@ Property / cites work @@
+Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
+Normal rank
@@ Property / cites work @@
+Q3764976
@@ Property / cites work: Q3764976 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations I
@@ Property / cites work: Solving Ordinary Differential Equations I / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations II
@@ Property / cites work: Solving Ordinary Differential Equations II / rank @@
+Normal rank
@@ Property / cites work @@
+\(A\)-stability and stochastic mean-square stability
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stahle ROW-Type Weak Scheme for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Solutions of Systems of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q3331110
@@ Property / cites work: Q3331110 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
+Normal rank