Mean-square stability analysis of numerical schemes for stochastic differential systems (Q408200)
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| Language | Label | Description | Also known as |
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| English | Mean-square stability analysis of numerical schemes for stochastic differential systems |
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Mean-square stability analysis of numerical schemes for stochastic differential systems (English)
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29 March 2012
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Mean-square (MS) stability analysis of numerical schemes is given for two-dimensional stochastic systems with one Wiener noise. The MS-stability behavior of a stochastic numerical method is determined by the comparison of its stability region with the stability region of the system.
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stochastic differential systems
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linear test system
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mean square stability
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Euler method
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stochastic theta methods
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