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

DOI10.1016/j.matcom.2010.09.015zbMath1219.60066arXiv0912.1968MaRDI QIDQ632730

Evelyn Buckwar, Thorsten Sickenberger

Publication date: 25 March 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1968

zbMATH Keywords

stochastic differential equations; linear stability analysis; \(\theta\)-Maruyama method; asymptotic mean-square stability; \(\theta \)-Milstein method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative, Five-stage Milstein methods for SDEs, Study on split-step Rosenbrock type method for stiff stochastic differential systems, Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations, Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients, Linear mean-square stability properties of semi-implicit weak order 2.0 Taylor schemes for systems of stochastic differential equations, Almost sure instability of the equilibrium solution of a Milstein-type stochastic difference equation, Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations, Mean-square stability analysis of numerical schemes for stochastic differential systems, A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems, Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS-\(\alpha\) method, Split-step Milstein methods for multi-channel stiff stochastic differential systems, On the stability of \(\vartheta\)-methods for stochastic Volterra integral equations, Implicit numerical solutions for solving stochastic differential equations with jumps, A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise, An improved Milstein method for stiff stochastic differential equations, On the MS-stability of predictor-corrector schemes for stochastic differential equations, Runge-Kutta Lawson schemes for stochastic differential equations, Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion, Numerical preservation issues in stochastic dynamical systems by \(\vartheta\)-methods, The impact of random noise on the dynamics of COVID-19 epidemic model, Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies, Modified stochastic theta methods by ODEs solvers for stochastic differential equations, Improved \(\vartheta\)-methods for stochastic Volterra integral equations, On the numerical structure preservation of nonlinear damped stochastic oscillators, Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes, Long-term analysis of stochastic \(\theta\)-methods for damped stochastic oscillators, Stability issues for selected stochastic evolutionary problems: a review, Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: convergence and its rate, Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems, Two-step Milstein schemes for stochastic differential equations, A derivative-free explicit method with order 1.0 for solving stochastic delay differential equations, Asymptotic mean-square stability of two-step Maruyama schemes for stochastic differential equations, A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise, Mean-square contractivity of stochastic \(\vartheta\)-methods, Stochastic stability of switching linear systems with application to an automotive powertrain model, THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE

Uses Software

• RODAS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean-square stability of numerical schemes for stochastic differential systems
• \(A\)-stability and stochastic mean-square stability
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Mean-square convergence of stochastic multi-step methods with variable step-size
• Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
• Stochastic Runge–Kutta Methods for Itô SODEs with Small Noise
• Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
• Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Multistep methods for SDEs and their application to problems with small noise
• The composite Euler method for stiff stochastic differential equations