On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise

DOI10.1002/ANAC.200410005zbMath1068.65011OpenAlexW2080266425MaRDI QIDQ3159467

Marwan I. Abukhaled

Publication date: 16 February 2005

Published in: Applied Numerical Analysis & Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/anac.200410005

zbMATH Keywords

numerical examplesRunge-Kutta type methodsweak numerical schemesmean square stabilitysystem of Itô stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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 (1)

Mean-square stability of second-order Runge-Kutta methods for multi-dimensional linear stochastic differential systems

Cites Work

• A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
• Mean Square Stability of a Class of Runge-Kutta Methods for 2-Dimensional Stochastic Differential Systems
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

This page was built for publication: On Stability of Weak Schemes for Stochastic Differential Systems With One Multiplicative Noise