Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations

DOI10.1137/090771843zbMath1221.60077OpenAlexW2030456910MaRDI QIDQ3078558

Cónall Kelly, Evelyn Buckwar

Publication date: 28 February 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090771843

zbMATH Keywords

stabilizationlinear stability analysissystems of stochastic differential equationstheta methoddestabilization

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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