MS-stability of nonnormal stochastic differential systems
Publication:2184023
DOI10.1016/j.cam.2020.112950OpenAlexW3018246475MaRDI QIDQ2184023
M. J. Senosiain, Alicia Tocino
Publication date: 27 May 2020
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.2020.112950
numerical methodMS-stabilitystochastic differential systemsnonnormalitylinear test systemstochastic theta methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)
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Cites Work
- Non-normal drift structures and linear stability analysis of numerical methods for systems of stochastic differential equations
- Mean-square stability analysis of numerical schemes for stochastic differential systems
- Higher-order implicit strong numerical schemes for stochastic differential equations
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