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

DOI10.1016/J.CAM.2004.05.019zbMath1063.65009OpenAlexW2093537337MaRDI QIDQ1765478

Xianqiang Yang

Publication date: 23 February 2005

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2004.05.019

zbMATH Keywords

StabilityNumerical examplesStochastic differential equationsStability domainsSecond moment stabilityStochastic Runge-Kutta schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (14)

Optimal Explicit Stabilized Integrator of Weak Order 1 for Stiff and Ergodic Stochastic Differential Equations ⋮ High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise ⋮ Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ Second-order balanced stochastic Runge-Kutta methods with multi-dimensional studies ⋮ Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations ⋮ PIROCK: A swiss-knife partitioned implicit-explicit orthogonal Runge-Kutta Chebyshev integrator for stiff diffusion-advection-reaction problems with or without noise ⋮ Mean-square \(A\)-stable diagonally drift-implicit integrators of weak second order for stiff Itô stochastic differential equations ⋮ Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations ⋮ Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems ⋮ Stochastic Runge–Kutta Schemes for Discretization of Hysteretic Models ⋮ Economical Runge-Kutta methods for numerical solution of stochastic differential equations ⋮ A-stable Runge-Kutta methods for stiff stochastic differential equations with multiplicative noise ⋮ Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• \(A\)-stability of Runge-Kutta methods for systems with additive noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Treatment of Stochastic Differential Equations
• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• The mean-square stability of numerical methods for solving stochastic differential equations
• Weak Second Order Conditions for Stochastic Runge--Kutta Methods
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Stochastic integral
• Stability of weak numerical schemes for stochastic differential equations
• Runge-Kutta methods for numerical solution of stochastic differential equations

This page was built for publication: Mean-square stability of second-order Runge-Kutta methods for stochastic differential equations