Stability issues for selected stochastic evolutionary problems: a review (Q2305960): Difference between revisions

Summary: We review some recent contributions of the authors regarding the numerical approximation of stochastic problems, mostly based on stochastic differential equations modeling random damped oscillators and stochastic Volterra integral equations. The paper focuses on the analysis of selected stability issues, i.e., the preservation of the long-term character of stochastic oscillators over discretized dynamics and the analysis of mean-square and asymptotic stability properties of \(\vartheta\)-methods for Volterra integral equations.

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zbMATH Keywords

stochastic differential equations

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stochastic multistep methods

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stochastic Volterra integral equations

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mean-square stability

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asymptotic stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3390/axioms7040091

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cites work

Numerical Methods for Second‐Order Stochastic Differential Equations

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Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations

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Numerical preservation of long-term dynamics by stochastic two-step methods

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The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization

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Numerical simulation of a linear stochastic oscillator with additive noise

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Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise

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Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise

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Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise

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Improved rectangular method on stochastic Volterra equations

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Euler schemes and large deviations for stochastic Volterra equations with singular kernels

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Q4004325

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On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations

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Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations

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Geometric Numerical Integration

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Q3750978

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Two-step diagonally-implicit collocation based methods for Volterra integral equations

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Two-step almost collocation methods for Volterra integral equations

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Multistep collocation methods for Volterra integral equations

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Multistep collocation methods for Volterra integro-differential equations

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Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients

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

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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On the boundedness of asymptotic stability regions for the stochastic theta method

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Mean-Square and Asymptotic Stability of the Stochastic Theta Method

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Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

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

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The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations

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The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations

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Partitioned general linear methods for separable Hamiltonian problems

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Numerical integration of Hamiltonian problems by G-symplectic methods

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Search for highly stable two-step Runge-Kutta methods

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Numerical solution of time fractional diffusion systems

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General Nyström methods in Nordsieck form: error analysis

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Revised exponentially fitted Runge-Kutta-Nyström methods

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Adapted numerical methods for advection-reaction-diffusion problems generating periodic wavefronts

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Identifiers

zbMATH Open document ID

1432.65009

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DOI

10.3390/axioms7040091

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2305960

@@ Property / cites work @@
+Numerical Methods for Second‐Order Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical preservation of long-term dynamics by stochastic two-step methods
+Normal rank
@@ Property / cites work @@
+The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
+Normal rank
@@ Property / cites work @@
+Numerical simulation of a linear stochastic oscillator with additive noise
+Normal rank
@@ Property / cites work @@
+Structure-preserving Runge-Kutta methods for stochastic Hamiltonian equations with additive noise
+Normal rank
@@ Property / cites work @@
+Low rank Runge-Kutta methods, symplecticity and stochastic Hamiltonian problems with additive noise
+Normal rank
@@ Property / cites work @@
+Weak Second Order Multirevolution Composition Methods for Highly Oscillatory Stochastic Differential Equations with Additive or Multiplicative Noise
+Normal rank
@@ Property / cites work @@
+Improved rectangular method on stochastic Volterra equations
+Normal rank
@@ Property / cites work @@
+Euler schemes and large deviations for stochastic Volterra equations with singular kernels
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
+Normal rank
@@ Property / cites work @@
+Geometric Numerical Integration
@@ Property / cites work: Geometric Numerical Integration / rank @@
+Normal rank
@@ Property / cites work @@
+Q3750978
@@ Property / cites work: Q3750978 / rank @@
+Normal rank
@@ Property / cites work @@
+Two-step diagonally-implicit collocation based methods for Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Two-step almost collocation methods for Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Multistep collocation methods for Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Multistep collocation methods for Volterra integro-differential equations
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of solutions to stochastic Volterra equations with singular kernels and non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+On the boundedness of asymptotic stability regions for the stochastic theta method
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+\(A\)-stability and stochastic mean-square stability
+Normal rank
@@ Property / cites work @@
+The stochastic \(\Theta\)-method for nonlinear stochastic Volterra integro-differential equations
+Normal rank
@@ Property / cites work @@
+The convergence and MS stability of exponential Euler method for semilinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Partitioned general linear methods for separable Hamiltonian problems
+Normal rank
@@ Property / cites work @@
+Numerical integration of Hamiltonian problems by G-symplectic methods
+Normal rank
@@ Property / cites work @@
+Search for highly stable two-step Runge-Kutta methods
+Normal rank
@@ Property / cites work @@
+Numerical solution of time fractional diffusion systems
+Normal rank
@@ Property / cites work @@
+General Nyström methods in Nordsieck form: error analysis
+Normal rank
@@ Property / cites work @@
+Revised exponentially fitted Runge-Kutta-Nyström methods
+Normal rank
@@ Property / cites work @@
+Adapted numerical methods for advection-reaction-diffusion problems generating periodic wavefronts
+Normal rank