THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
From MaRDI portal
Publication:3173988
DOI10.1142/S0219493711003279zbMath1236.60067MaRDI QIDQ3173988
Evelyn Buckwar, Martin Georg Riedler, Peter E. Kloeden
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493711003279
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations, Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data, The Monte Carlo wave-function method: a robust adaptive algorithm and a study in convergence, Numerical stationary distribution and its convergence for nonlinear stochastic differential equations, Convergence and asymptotic stability of the explicit Steklov method for stochastic differential equations, Study of micro-macro acceleration schemes for linear slow-fast stochastic differential equations with additive noise, Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations, Mean-square contractivity of stochastic \(\vartheta\)-methods, High Order Integrator for Sampling the Invariant Distribution of a Class of Parabolic Stochastic PDEs with Additive Space-Time Noise
Cites Work
- Unnamed Item
- Unnamed Item
- A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
- Discretization of stationary solutions of stochastic systems driven by fractional Brownian motion
- The pathwise numerical approximation of stationary solutions of semilinear stochastic evolution equations
- Diagonally drift-implicit Runge-Kutta methods of weak order one and two for Itô SDEs and stability analysis
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- \(A\)-stability and stochastic mean-square stability
- Numerical methods for nonlinear stochastic differential equations with jumps
- Asymptotic mean-square stability of two-step methods for stochastic ordinary differential equations
- Unconditional stability of explicit exponential Runge-Kutta methods for semi-linear ordinary differential equations
- Towards a Systematic Linear Stability Analysis of Numerical Methods for Systems of Stochastic Differential Equations
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
- A General Implicit Splitting for Stabilizing Numerical Simulations of Itô Stochastic Differential Equations
- Lyapunov functions and non-trivial stationary solutions of stochastic differential equations
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Solving Ordinary Differential Equations II
- Synchronization of noisy dissipative systems under discretization
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
- The persistence of synchronization under environmental noise