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

Latest revision as of 01:25, 18 December 2024

scientific article

Language	Label	Description	Also known as
English	Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

Applied Mathematics and Computation

0 references

publication date

12 November 2019

0 references

zbMATH Keywords

stochastic differential equations

0 references

multi-dimensional systems

0 references

numerical solutions

0 references

stochastic Runge-Kutta methods

0 references

mean-square stability analysis

0 references

balanced stochastic Runge-Kutta methods

0 references

MaRDI profile type

Publication

0 references

full work available at URL

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

0 references

cites work

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

0 references

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

0 references

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

0 references

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

0 references

Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations

0 references

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

0 references

Implicit stochastic Runge-Kutta methods for stochastic differential equations

0 references

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

0 references

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

0 references

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

0 references

An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

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

0 references

Q4716820

0 references

Q4338975

0 references

Stability of stochastic differential equations with Markovian switching

0 references

Balanced Implicit Methods for Stiff Stochastic Systems

0 references

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

0 references

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

0 references

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

0 references

Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations

0 references

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

0 references

Stability Analysis of Numerical Schemes for Stochastic Differential Equations

0 references

Mean-square stability of numerical schemes for stochastic differential systems

0 references

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

0 references

Weak Second Order Conditions for Stochastic Runge--Kutta Methods

0 references

Runge-Kutta methods for numerical solution of stochastic differential equations

0 references

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

0 references

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

0 references

Linear mean-square stability analysis of weak order 2.0 semi-implicit Taylor schemes for scalar stochastic differential equations

0 references

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

0 references

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

0 references

Identifiers

zbMATH Open document ID

1427.65008

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

10.1016/J.AMC.2018.03.065

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2333245

@@ Property / DOI @@
-.1016/j.amc.2018.03.065
@@ Property / DOI: 10.1016/j.amc.2018.03.065 / rank @@
-Normal rank
@@ Property / DOI @@
+.1016/J.AMC.2018.03.065
@@ Property / DOI: 10.1016/J.AMC.2018.03.065 / rank @@
+Normal rank