Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations (Q268307): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations	scientific article

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instance of

scholarly article

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title

Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations (English)

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author

A. S. Fatemion Aghda

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Mohammed Hosseini Ali Abadi

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published in

Journal of Computational and Applied Mathematics

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publication date

14 April 2016

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zbMATH Keywords

stochastic differential equation (SDE)

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semi-implicit Taylor schemes

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MS-stability

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normal and non-normal test systems

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describes a project that uses

Eigtool

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.cam.2016.01.043

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cites work

Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Mean-square stability of numerical schemes for stochastic differential systems

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Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations

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

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

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

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A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems

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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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Second Order Runge–Kutta Methods for Itô 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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Weak Approximation of Solutions of Systems of Stochastic Differential Equations

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Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations

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

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

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Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations

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Mean-square stability analysis of numerical schemes for stochastic differential systems

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THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION

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

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Q4004325

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Q4551183

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Q5694789

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Nonnormality and stochastic differential equations

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Identifiers

zbMATH Open document ID

1382.65017

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DOI

10.1016/j.cam.2016.01.043

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:268307

@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential equations -- implementation and stability issues
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Mean-square stability of numerical schemes for stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+On the stability of some second order numerical methods for weak approximation of Itô SDEs
+Normal rank
@@ Property / cites work @@
+A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
+Normal rank
@@ Property / cites work @@
+Exponential mean square stability of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
+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 @@
+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Weak Approximation of Solutions of Systems of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
+Normal rank
@@ Property / cites work @@
+Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-square stability analysis of numerical schemes for stochastic differential systems
+Normal rank
@@ Property / cites work @@
+THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
+Normal rank
@@ Property / cites work @@
+\(A\)-stability and stochastic mean-square stability
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4551183
@@ Property / cites work: Q4551183 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5694789
@@ Property / cites work: Q5694789 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonnormality and stochastic differential equations
+Normal rank