Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems (Q2333245): Difference between revisions

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scientific article

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English	Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems	scientific article

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instance of

scholarly article

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title

Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems (English)

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Applied Mathematics and Computation

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publication date

12 November 2019

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zbMATH Keywords

stochastic differential equations

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multi-dimensional systems

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numerical solutions

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stochastic Runge-Kutta methods

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mean-square stability analysis

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balanced stochastic Runge-Kutta methods

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.amc.2018.03.065

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cites work

A class of balanced stochastic Runge-Kutta methods for stiff SDE systems

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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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Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

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

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Implicit stochastic Runge-Kutta methods for stochastic differential equations

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Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations

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Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations

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Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations

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Q4716820

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Q4338975

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Stability of stochastic differential equations with Markovian switching

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Balanced Implicit Methods for Stiff Stochastic Systems

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

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Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations

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Runge-Kutta methods for Itô stochastic differential equations with scalar noise

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Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

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Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments

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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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Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations

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Weak Second Order Conditions for Stochastic Runge--Kutta Methods

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Runge-Kutta methods for numerical solution of stochastic differential equations

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

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

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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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An error corrected Euler-Maruyama method for stiff stochastic differential equations

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Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients

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Identifiers

zbMATH Open document ID

1427.65008

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DOI

10.1016/j.amc.2018.03.065

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2333245

@@ Property / cites work @@
+A class of balanced stochastic Runge-Kutta methods for stiff SDE 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 @@
+A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
+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 @@
+Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Two-stage stochastic Runge-Kutta methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Implicit stochastic Runge-Kutta methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Families of efficient second order Runge-Kutta methods for the weak approximation of Itô stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Analysis of asymptotic mean-square stability of a class of Runge-Kutta schemes for linear systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Q4716820
@@ Property / cites work: Q4716820 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4338975
@@ Property / cites work: Q4338975 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of stochastic differential equations with Markovian switching
+Normal rank
@@ Property / cites work @@
+Balanced Implicit Methods for Stiff Stochastic Systems
+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 @@
+Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for Itô stochastic differential equations with scalar noise
+Normal rank
@@ Property / cites work @@
+Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments
+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 @@
+Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Weak Second Order Conditions for Stochastic Runge--Kutta Methods
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for numerical solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Mean-square stability analysis of numerical schemes for stochastic differential systems
+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 @@
+An error corrected Euler-Maruyama method for stiff stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
+Normal rank