Mean-square stability properties of an adaptive time-stepping SDE solver

DOI10.1016/j.cam.2005.07.007zbMath1098.65004OpenAlexW2007550744MaRDI QIDQ2496261

Harbir Lamba, T. Seaman

Publication date: 12 July 2006

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.2005.07.007

zbMATH Keywords

numerical resultsstochastic differential equationserror controlvariable step-sizemean-square stabilityadaptive time-stepping Milstein methodnumerical stability boundary

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

Related Items

Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations ⋮ Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations ⋮ Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations ⋮ Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations ⋮ On mean-square stability properties of a new adaptive stochastic Runge-Kutta method ⋮ Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching

Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Some experiments on numerical simulations of stochastic differential equations and a new algorithm
• Some issues in discrete approximate solution for stochastic differential equations
• Probability theory. Translated from the German by Robert B. Burckel
• On the boundedness of asymptotic stability regions for the stochastic theta method
• An adaptive timestepping algorithm for stochastic differential equations.
• \(A\)-stability and stochastic mean-square stability
• Numerical solutions of stochastic differential equations -- implementation and stability issues
• Absorbing boundaries and optimal stopping in a stochastic differential equation
• Equilibrium states of Runge Kutta schemes
• A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
• The Invariance of Asymptotic Laws of Linear Stochastic Systems under Discretization
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• The mean-square stability of numerical methods for solving stochastic differential equations
• A Variable Stepsize Implementation for Stochastic Differential Equations
• The Essential Stability of Local Error Control for Dynamical Systems
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
• The Effective Stability of Adaptive Timestepping ODE Solvers
• Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item