Stability analysis of second-order weak schemes for multi-dimensional stochastic differential systems
Publication:647952
DOI10.1016/j.jfranklin.2010.01.011zbMath1229.65025MaRDI QIDQ647952
Publication date: 22 November 2011
Published in: Journal of the Franklin Institute (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jfranklin.2010.01.011
weak convergence; numerical examples; stochastic differential equations; mean square stability; infinite logarithmic matrix norm
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34F05: Ordinary differential equations and systems with randomness
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Cites Work
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- Mean square stability of second-order weak numerical methods for stochastic differential equations.
- EXPECTATION STABILITY OF SECOND-ORDER WEAK NUMERICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- Stability of weak numerical schemes for stochastic differential equations